Séminaire de Probabilités XXXVII

J. Azéma, Michel Emery, Michel Ledoux, Marc Yor - Collection Lectures Notes in Mathematics

450 pages, parution le 11/02/2004

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Résumé

The 37th Séminaire de Probabilités contains A. Lejay's advanced course which is a pedagogical introduction to works by T. Lyons and others on stochastic integrals and SDEs driven by deterministic rough paths. The rest of the volume consists of various articles on topics familiar to regular readers of the Séminaires, including Brownian motion, random environment or scenery, PDEs and SDEs, random matrices and financial random processes.

Written for:
Researchers and graduate students

L'auteur - J. Azéma

Universite Pierre et Marie Curie, Paris, France

L'auteur - Michel Emery

Institut de recherche mathématiques avancée
Université Louis Pasteur (Strasbourg)

L'auteur - Michel Ledoux

Ledoux, M., Universite Paul Sabatier, Toulouse, France;

Autres livres de Michel Ledoux

Probabilités

Découvrir tous les livres de Michel Ledoux

L'auteur - Marc Yor

Yor, M., Universite Pierre et Marie Curie, Paris, France

Autres livres de Marc Yor

Harmonic & stochastic analysis of dunkl processes

Découvrir tous les livres de Marc Yor

Sommaire

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: On a class of genealogical and interacting Metropolis models.

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Springer
Auteur(s)	J. Azéma, Michel Emery, Michel Ledoux, Marc Yor
Collection	Lectures Notes in Mathematics
Parution	11/02/2004
Nb. de pages	450
Format	15,5 x 23,5
Couverture	Broché
Poids	690g
Intérieur	Noir et Blanc
EAN13	9783540205203