Séminaire de Probabilités XXXVII

Häftad, Engelska, 2003

Del 1832 i serien Lecture Notes in Mathematics

549 kr

Beställningsvara. Skickas inom 10-15 vardagar. Fri frakt över 249 kr.

Beskrivning

The 37th Seminaire de Probabilites 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 Seminaires, including Brownian motion, random environment or scenery, PDEs and SDEs, random matrices and financial random processes.

Produktinformation

Utgivningsdatum:2003-11-26
Mått:155 x 235 x 26 mm
Vikt:703 g
Format:Häftad
Språk:Engelska, Franska
Serie:Lecture Notes in Mathematics
Antal sidor:454
Upplaga:2003
Förlag:Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
ISBN:9783540205203

Utforska kategorier

Matematisk statistik inom Naturvetenskap och teknik

Innehållsförteckning

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: Ona class of genealogical and interacting Metropolis models.