Séminaire de Probabilités XL (eBook, PDF)

Redaktion: Donati-Martin, Catherine; Stricker, Christophe; Rouault, Alain; Émery, Michel

• Format: PDF

Produktbeschreibung

Two noteworthy features of the 40th volume of the Séminaire de Probabilités are L. Coutin's advanced course on calculus driven by fractional Brownian motion, and a series of seven interrelated works on local time-space calculus. Other topics from stochastic processes and stochastic finance include three contributions by A.S. Cherny on general approaches to arbitrage pricing.

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Produktdetails

• Verlag: Springer Berlin Heidelberg
• Seitenzahl: 489
• Erscheinungstermin: 25. Juli 2007
• Englisch
• ISBN-13: 9783540711896
• Artikelnr.: 44223117

Autorenporträt

Catherine Donati-Martin, Université Paris VI, Paris, France / Michel Émery, Université Strasbourg I, France / Alain Rouault, Université des Versailles, France / Christophe Stricker, Université des Besançon, France

Inhaltsangabe

Specialized Course.- An Introduction to (Stochastic) Calculus with Respect to Fractional Brownian Motion.- Local Time-Space Calculus.- A Change-of-Variable Formula with Local Time on Surfaces.- A Note on a Change of Variable Formula with Local Time-Space for Lévy Processes of Bounded Variation.- Integration with Respect to Self-Intersection Local Time of a One-Dimensional Brownian Motion.- Generalized It? Formulae and Space-Time Lebesgue-Stieltjes Integrals of Local Times.- Local Time-Space Calculus for Reversible Semimartingales.- Elements of Stochastic Calculus via Regularization.- On the Smooth-Fit Property for One-Dimensional Optimal Switching Problem.- Other Contributions.- A Strong Form of Stable Convergence.- Product of Harmonic Maps is Harmonic: A Stochastic Approach.- More Hypercontractive Bounds for Deformed Orthogonal Polynomial Ensembles.- No Multiple Collisions for Mutually Repelling Brownian Particles.- On the Joint Law of the L1 and L2 Norms of a 3-Dimensional Bessel Bridge.- Tanaka Formula for Symmetric Lévy Processes.- An Excursion-Theoretical Approach to Some Boundary Crossing Problems and the Skorokhod Embedding for Reflected Lévy Processes.- The Maximality Principle Revisited: On Certain Optimal Stopping Problems.- Correlated Processes and the Composition of Generators.- Representation of the Martingales for the Brownian Snake.- Discrete Sampling of Functionals of Ito Processes.- Ito's Integrated Formula for Strict Local Martingales with Jumps.- Enlargement of Filtrations and Continuous Girsanov-Type Embeddings.- On a Lemma by Ansel and Stricker.- General Arbitrage Pricing Model: I - Probability Approach.- General Arbitrage Pricing Model: II - Transaction Costs.- General Arbitrage Pricing Model: III - Possibility Approach.