Seminaire de Probabilites XIV, Universite de Paris 6, 1978-79 PDF Download

Author: Séminaire de probabilités. (14th
Publisher:
ISBN:
Category : Probabilities
Languages : fr
Pages :

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Author: France) Seminaire de Probabilities (4th : 1978-1979 : Paris
Publisher:
ISBN:
Category : Probabilities
Languages : en
Pages :

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Author: Catherine Donati Martin
Publisher: Springer Science & Business Media
ISBN: 3642152163
Category : Mathematics
Languages : en
Pages : 511

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This is a new volume of the Séminaire de Probabilités which is now in its 43rd year. Following the tradition, this volume contains about 20 original research and survey articles on topics related to stochastic analysis. It contains an advanced course of J. Picard on the representation formulae for fractional Brownian motion. The regular chapters cover a wide range of themes, such as stochastic calculus and stochastic differential equations, stochastic differential geometry, filtrations, analysis on Wiener space, random matrices and free probability, as well as mathematical finance. Some of the contributions were presented at the Journées de Probabilités held in Poitiers in June 2009.

Author: J. Azema
Publisher: Springer
ISBN: 3540464131
Category : Mathematics
Languages : en
Pages : 441

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This volume contains 19 contributions to various subjects in the theory of (commutative and non-commutative) stochastic processes. It also provides a 145-page graduate course on branching and interacting particle systems, with applications to non-linear filtering, by P. del Moral and L. Miclo.

Author: J. Azema
Publisher: Springer
ISBN: 3540386424
Category : Mathematics
Languages : fr
Pages : 559

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Author: Jacques Azema
Publisher: Springer
ISBN: 354044744X
Category : Mathematics
Languages : en
Pages : 337

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All the papers included in this volume are original research papers. They represent an important part of the work of French probabilists and colleagues with whom they are in close contact throughout the world. The main topics of the papers are martingale and Markov processes studies.

Author: Jacques Azema
Publisher: Springer
ISBN: 3540486569
Category : Mathematics
Languages : fr
Pages : 340

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In this volume of original research papers, the main topics discussed relate to the asymptotic windings of planar Brownian motion, structure equations, closure properties of stochastic integrals. The contents of the volume represent an important fraction of research undertaken by French probabilists and their collaborators from abroad during the academic year 1992-1993.

Author: Christophe Profeta
Publisher: Springer Science & Business Media
ISBN: 3642103952
Category : Mathematics
Languages : en
Pages : 282

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Discovered in the seventies, Black-Scholes formula continues to play a central role in Mathematical Finance. We recall this formula. Let (B ,t? 0; F ,t? 0, P) - t t note a standard Brownian motion with B = 0, (F ,t? 0) being its natural ?ltra- 0 t t tion. Let E := exp B? ,t? 0 denote the exponential martingale associated t t 2 to (B ,t? 0). This martingale, also called geometric Brownian motion, is a model t to describe the evolution of prices of a risky asset. Let, for every K? 0: + ? (t) :=E (K?E ) (0.1) K t and + C (t) :=E (E?K) (0.2) K t denote respectively the price of a European put, resp. of a European call, associated with this martingale. Let N be the cumulative distribution function of a reduced Gaussian variable: x 2 y 1 ? 2 ? N (x) := e dy. (0.3) 2? ?? The celebrated Black-Scholes formula gives an explicit expression of? (t) and K C (t) in terms ofN : K ? ? log(K) t log(K) t ? (t)= KN ? + ?N ? ? (0.4) K t 2 t 2 and ? ?

Author: Yu. Kabanov
Publisher: Springer Science & Business Media
ISBN: 3540307885
Category : Mathematics
Languages : en
Pages : 659

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Dedicated to the Russian mathematician Albert Shiryaev on his 70th birthday, this is a collection of papers written by his former students, co-authors and colleagues. The book represents the modern state of art of a quickly maturing theory and will be an essential source and reading for researchers in this area. Diversity of topics and comprehensive style of the papers make the book attractive for PhD students and young researchers.

Author: American Mathematical Society
Publisher: American Mathematical Society(RI)
ISBN:
Category : Mathematics
Languages : en
Pages : 908

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