Séminaire de Probabilités XL
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 t...
| Autor Corporativo: | |
|---|---|
| Otros Autores: | |
| Formato: | Libro electrónico |
| Idioma: | Alemán |
| Publicado: |
Berlin ; Heidelberg :
Springer-Verlag
[2007]
|
| Edición: | 1st ed. 2007. |
| Colección: | Lecture notes in mathematics (Springer-Verlag) ;
1899. |
| Materias: | |
| Ver en Biblioteca Universitat Ramon Llull: | https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009461779406719 |
Tabla de Contenidos:
- 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.
