+612 9045 4394
 
CHECKOUT
Sa(c)Minaire de Probabilita(c)S XXXVII : Lecture Notes in Mathematics - Michel AOmery

Sa(c)Minaire de Probabilita(c)S XXXVII

Lecture Notes in Mathematics

By: Michel AOmery (Editor), Michel Ledoux (Editor), Jacques Azema (Editor), Marc Yor (Editor)

Paperback

Published: January 2004
Ships: 5 to 9 business days
5 to 9 business days
$125.05
or 4 easy payments of $31.26 with Learn more
if ordered within

Preface.- F.B. Knight: An Impression of P.A. Meyer as Deus Ex Machina.- Advanced course: A. Lejay: An introduction to rough paths.- Talks: D. Bakry, O. Mazet : Characterization of Markov semigroups on R associated to some families of orthogonal polynomials.- P. Cheridito: Representations of Gaussian measures that are equivalent to Wiener measure.- L. Galtchouk: On the reduction of a multidimensional continuous martingale to a Brownian motion.- I. Meilijson: The time to a given drawdown in Brownian motion.- A. Lachal: Application de la thèorie des excursions á l'intègrale du mouvement Brownien.- T. Mountford: Brownian sheet local time and bubbles.- K. Hirano: On the maximum of a diffusion process in a random Lèvy environment.- D. Khoshnevisan: The codimension of the zeros of a stable process in random scenery.- J. Brossard: Deux notions èquivalentes d'unicitè en loi pour les èquations diffèrentielles stochastiques.- Z. Brzezniak, A. Carroll : Approximation of the Wong-Zakai type for stochastic differential equations in M-type 2 Banach spaces with applications to loop spaces.- F. Delarue: Estimates of the solutions of a system of quasi-linear PDEs. A probabilistic scheme.- G. Miermont, J. Schweinsberg: Self-similar fragmentations and stable subordinators.- M. Ledoux: A remark on hypercontractivity and tail inequalities for the largest eigenvalues of random matrices.- Ya. Doumerc: A note on representations of eigenvalues of classical Gaussian matrices.- E. Strasser: Necessary and sufficient conditions for the supermartingale property of a stochastic integral with respect to a local martingale.- M. Rasonyi: A remark on the superhedging theorem under transaction costs.- I. Rosu, D. Stroock: On the derivation of the Black-Scholes formula.- P. del Moral, A. Doucet: On a class of genealogical and interacting Metropolis models.

An Impression of P. A. Meyer As Deus Ex Machina
Cours Specialise
An Introduction to Rough Pathsp. 1
Characterization of Markov semigroups on R Associated to Some Families of Orthogonal Polynomialsp. 60
Representations of Gaussian measures that are equivalent to Wiener measurep. 81
On the reduction of a multidimensional continuous martingale to a Brownian motionp. 90
The time to a given drawdown in Brownian Motionp. 94
Application de la theorie des excursions a l'integrale du mouvement brownienp. 109
Brownian Sheet Local Time and Bubblesp. 196
On the maximum of a diffusion process in a random Levy environmentp. 216
The Codimension of the Zeros of a Stable Process in Random Sceneryp. 236
Deux notions equivalentes d'unicite en loi pour les equations differentielles stochastiquesp. 246
Approximations of the Wong-Zakai type for stochastic differential equations in M-type 2 Banach spaces with applications to loop spacesp. 251
Estimates of the Solutions of a System of Quasi-linear PDEs. A Probabilistic Schemep. 290
Self-similar fragmentations and stable subordinatorsp. 333
A Remark on Hypercontractivity and Tail Inequalities for the Largest Eigenvalues of Random Matricesp. 360
A note on representations of eigenvalues of classical Gaussian matricesp. 370
Necessary and sufficient conditions for the supermartingale property of a stochastic integral with respect to a local martingalep. 385
A remark on the superhedging theorem under transaction costsp. 394
On the Derivation of the Black-Scholes Formulap. 399
On a Class of Genealogical and Interacting Metropolis Modelsp. 415
Table of Contents provided by Blackwell. All Rights Reserved.

ISBN: 9783540205203
ISBN-10: 3540205209
Series: Lecture Notes in Mathematics
Audience: General
Format: Paperback
Language: English , French
Number Of Pages: 454
Published: January 2004
Publisher: Springer-Verlag Berlin and Heidelberg Gmbh & Co. Kg
Country of Publication: DE
Dimensions (cm): 23.4 x 15.6  x 2.3
Weight (kg): 1.44