Zobrazeno 1 - 10
of 571
pro vyhledávání: '"Marc Yor"'
Autor:
Loïc Chaumont, Marc Yor
Derived from extensive teaching experience in Paris, this second edition now includes over 100 exercises in probability. New exercises have been added to reflect important areas of current research in probability theory, including infinite divisibili
Autor:
Marc Yor, Ching-Tang Wu
Publikováno v:
Recercat. Dipósit de la Recerca de Catalunya
instname
Dipòsit Digital de Documents de la UAB
Universitat Autònoma de Barcelona
Recercat: Dipósit de la Recerca de Catalunya
Varias* (Consorci de Biblioteques Universitáries de Catalunya, Centre de Serveis Científics i Acadèmics de Catalunya)
instname
Dipòsit Digital de Documents de la UAB
Universitat Autònoma de Barcelona
Recercat: Dipósit de la Recerca de Catalunya
Varias* (Consorci de Biblioteques Universitáries de Catalunya, Centre de Serveis Científics i Acadèmics de Catalunya)
Brownian motions defined as linear transformations of two independent Brownian motions are studied, together with certain orthogonal decompositions of Brownian filtrations.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::48b1273ce7ddf48bd910e35e8b55210e
http://hdl.handle.net/2072/379994
http://hdl.handle.net/2072/379994
Autor:
Christian-Oliver Ewald, Marc Yor
Publikováno v:
Mathematical Finance. 28:536-549
We introduce a class of stochastic processes, which we refer to as lyrebirds. These extend a class of stochastic processes, which have recently been coined peacocks, but are more commonly known as processes that are increasing in the convex order. We
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8744c1db32916eb10e7fab5ac3316d20
https://doi.org/10.1111/mafi.12144
https://doi.org/10.1111/mafi.12144
Autor:
Offer Kella, Marc Yor
Publikováno v:
Journal of Applied Probability. 54:252-266
We establish a local martingaleMassociate withf(X,Y) under some restrictions onf, whereYis a process of bounded variation (on compact intervals) and eitherXis a jump diffusion (a special case being a Lévy process) orXis some general (càdlàg metric
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8ce8e7bcbe76e6e5a755369f21aefa63
https://doi.org/10.1017/jpr.2016.98
https://doi.org/10.1017/jpr.2016.98
Autor:
Christian-Oliver Ewald, Marc Yor
Publikováno v:
Journal of Economic Dynamics and Control. 59:22-36
We extend the Rothschild and Stiglitz (1970) notion of increasing risk to families of random variables and in this way link their approach to the concept of stochastic processes which are increasing in the convex order. These processes have been intr
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::64a6122dadf0ebb60545547f798f9446
https://doi.org/10.1016/j.jedc.2015.07.004
https://doi.org/10.1016/j.jedc.2015.07.004
Autor:
Marc Yor, Mathieu Rosenbaum
Publikováno v:
ESAIM: Probability and Statistics. 19:578-589
We show that simple explicit formulas can be obtained for several relevant quantities related to the laws of the uniformly sampled Brownian bridge, Brownian meander and three dimensional Bessel process. To prove such results, we use the distribution
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::90d490b32b060a556bd4fe2921e05473
https://doi.org/10.1051/ps/2015009
https://doi.org/10.1051/ps/2015009
Publikováno v:
Quantitative Finance. 14:1327-1331
There are several (mathematical) reasons why Dupire’s formula fails in the non-diffusion setting. And yet, in practice, ad-hoc preconditioning of the option data works reasonably well. In this note, we attempt to explain why. In particular, we prop
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::07abcd156f221f677c11a7c6cd8d2045
https://doi.org/10.1080/14697688.2013.874622
https://doi.org/10.1080/14697688.2013.874622
Autor:
Jean Bertoin, Marc Yor
Publikováno v:
Bulletin of the London Mathematical Society. 46:553-560
We introduce two natural notions for the occupation measure of a function $V$ with finite variation. The first yields a signed measure, and the second a positive measure. By comparing two versions of the change-of-variables formula, we show that both
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ba7aa1a642037f789e73c06ee5ec4a07
https://doi.org/10.1112/blms/bdu014
https://doi.org/10.1112/blms/bdu014
Autor:
Dilip B. Madan, Marc Yor
Publikováno v:
Mathematical Finance. 26:296-328
For longer horizons, assuming no dividend distributions, models for discounted stock prices in balanced markets are formulated as conditional expectations of nontrivial terminal random variables defined at infinity. Observing that extant models fail
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::5c932aa4068e37cd8a0862d194b7d596
https://doi.org/10.1111/mafi.12056
https://doi.org/10.1111/mafi.12056
Publikováno v:
Statistics & Probability Letters. 83:2015-2018
A stochastic Fubini argument and a computation of some moments are given in relation to a distributional integration by parts formula for Brownian quadratic functionals.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3038112f805fc8220e14586047883c19
https://doi.org/10.1016/j.spl.2013.05.013
https://doi.org/10.1016/j.spl.2013.05.013