Séminaire de Probabilités XXXVII

468 Seiten, Taschenbuch

Kurzbeschreibung des Verlags

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 théorie des excursions à l'intégrale du mouvement Brownien.- T. Mountford: Brownian sheet local time and bubbles.- K. Hirano: On the maximum of a diffusion process in a random Lévy environment.- D. Khoshnevisan: The codimension of the zeros of a stable process in random scenery.- J. Brossard: Deux notions équivalentes d'unicité en loi pour les équations différentielles 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: Ona class of genealogical and interacting Metropolis models.

• Reihe: Lecture Notes in Mathematics
• Themen: Mathematik und Naturwissenschaften Mathematik Angewandte Mathematik Stochastik
• ISBN: 9783540205203
• Sprache: Englisch
• Erscheinungsdatum: 26.11.2003
• Größe: 235 x 155 mm
• Verlag: Springer
• Herausgegeben von: Michel Ledoux, Michel Émery, Jacques Azéma, Marc Yor