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Found 249 Documents (Results 1–100)

On two results of P. Deheuvels. (English) Zbl 1317.60108

Hallin, Marc (ed.) et al., Mathematical statistics and limit theorems. Festschrift in honour of Paul Deheuvels. Selected papers based on the presentations at the conference on the occasion of his 65th birthday, Paris, France, June 20–21, 2013. Cham: Springer (ISBN 978-3-319-12441-4/hbk; 978-3-319-12442-1/ebook). 305-308 (2015).
MSC:  60J65 60J75
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Local times and excursion theory for Brownian motion. A tale of Wiener and Itô measures. (English) Zbl 1364.60003

Lecture Notes in Mathematics 2088. Cham: Springer (ISBN 978-3-319-01269-8/pbk; 978-3-319-01270-4/ebook). ix, 135 p. (2013).
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Peacocks and associated martingales, with explicit constructions. (English) Zbl 1227.60001

Bocconi & Springer Series 3. New York, NY: Springer (ISBN 978-88-470-1907-2/hbk; 978-88-470-1908-9/ebook). xxxi, 384 p. (2011).
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Constructing self-similar martingales via two Skorokhod embeddings. (English) Zbl 1234.60047

Donati-Martin, Catherine (ed.) et al., Séminaire de Probabilités XLIII, Poitiers, France, Juin 2009. Berlin: Springer (ISBN 978-3-642-15216-0/pbk; 978-3-642-15217-7/ebook). Lecture Notes in Mathematics 2006, 451-503 (2011).
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A sequence of Albin type continuous martingales with Brownian marginals and scaling. (English) Zbl 1216.60039

Donati-Martin, Catherine (ed.) et al., Séminaire de Probabilités XLIII, Poitiers, France, Juin 2009. Berlin: Springer (ISBN 978-3-642-15216-0/pbk; 978-3-642-15217-7/ebook). Lecture Notes in Mathematics 2006, 441-449 (2011).
MSC:  60G44
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Option prices as probabilities. A new look at generalized Black-Scholes formulae. (English) Zbl 1188.91004

Springer Finance. Berlin: Springer (ISBN 978-3-642-10394-0/pbk; 978-3-642-10395-7/ebook). xxi, 270 p. (2010).
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Penalising Brownian paths. Dedicated to Frank Knight (1933-2007). (English) Zbl 1190.60002

Lecture Notes in Mathematics 1969. Berlin: Springer (ISBN 978-3-540-89698-2/pbk; 978-3-540-89699-9/ebook). xiii, 275 p. (2009).
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A note about Selberg’s integrals in relation with the beta-gamma algebra. (English) Zbl 1160.33002

Fu, Michael C. (ed.) et al., Advances in mathematical finance. Papers presented at the ‘Mathematical finance conference in honor of the 60th birthday of Dilip B. Madan’, College Park, MD, USA, September 29 – October 1, 2006. Boston, MA: Birkhäuser (ISBN 978-0-8176-4544-1/hbk). Applied and Numerical Harmonic Analysis, 49-58 (2007).
MSC:  33B15 60E05
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On the problem of stochastic integral representations of functionals of the Brownian motion. II. (English. Russian original) Zbl 1116.60022

Theory Probab. Appl. 51, No. 1, 65-77 (2007); translation from Teor. Veroyatn. Primen. 51, No. 1, 64-77 (2006).
MSC:  60H05 60J65
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Penalizations and some extensions of Pitman’s theorem relative to Brownian motion and its one-sided maximum. (Pénalisations et quelques extensions du théorème de Pitman, relatives au mouvement Brownien et à son maximum unilatère.) (French) Zbl 1124.60034

Émery, Michel (ed.) et al., In memoriam Paul-André Meyer. Séminaire de probabilités XXXIX. Berlin: Springer (ISBN 3-540-30994-2/pbk). Lecture Notes in Mathematics 1874, 305-336 (2006).
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Identities in law between quadratic functionals of bivariate Gaussian processes, through Fubini theorems and symmetric projections. (English) Zbl 1116.60013

Figiel, Tadeuz (ed.) et al., Approximation and probability. Papers of the conference held on the occasion of the 70th anniversary of Prof. Zbigniew Ciesielski, Bȩdlewo, Poland, September 20–24, 2004. Warsaw: Polish Academy of Sciences, Institute of Mathematics. Banach Center Publications 72, 235-250 (2006).
MSC:  60G15 60E10
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On local martingale and its supremum: harmonic functions and beyond. (English) Zbl 1120.60045

Kabanov, Yuri (ed.) et al., From stochastic calculus to mathematical finance. The Shiryaev Festschrift. Allmost all papers based on the presentation at the second Bachelier colloquium on stochastic calculus and probability, Meatbief, France, January 9–15, 2005. Berlin: Springer (ISBN 3-540-30782-6/hbk). 517-533 (2006).
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Continuous martingales and Brownian motion. 3rd ed., 3rd. corrected printing. (English) Zbl 1087.60040

Grundlehren der Mathematischen Wissenschaften 293. Berlin: Springer (ISBN 3-540-64325-7/hbk; 978-3-642-08400-3/pbk). xi, 606 p. (2005).
MSC:  60G44 60J65 60-02
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Some properties of the arc-sine law related to its invariance under a family of rational maps. (English) Zbl 1268.37071

Dasgupta, Anirban (ed.), A Festschrift for Herman Rubin. Beachwood, OH: IMS, Institute of Mathematical Statistics (ISBN 0-940600-61-7/pbk). Institute of Mathematical Statistics Lecture Notes - Monograph Series 45, 126-137 (2004).
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On Dufresne’s perpetuity, translated and reflected. (English) Zbl 1323.60113

Akahori, Jiro (ed.) et al., Stochastic processes and applications to mathematical finance. Proceedings of the Ritsumeikan international symposium, Kusatsu, Shiga, Japan, March 5–9, 2003. River Edge, NJ: World Scientific (ISBN 981-238-778-1/hbk). 337-354 (2004).
MSC:  60J65 60J60 60J55 91B30
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Four limit theorems for quadratic functionals of Brownian motion and Brownian bridge. (English) Zbl 1071.60017

Horvárth, Lajos (ed.) et al., Asymptotic methods in stochastics. Festschrift for Miklós Csörgő. Proceedings of the international conference, held in honour of the work of Miklós Csörgő on the occasion of his 70th birthday, Ottawa, Canada, May 23–25, 2002. Providence, RI: American Mathematical Society (AMS) (ISBN 0-8218-3561-0/hbk). Fields Institute Communications 44, 75-87 (2004).
MSC:  60F05 60G15 60H05
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Poissonian exponential functionals, \(q\)-series, \(q\)-integrals, and the moment problem for log-normal distributions. (English) Zbl 1056.60046

Dalang, Robert C. (ed.) et al., Seminar on stochastic analysis, random fields and applications IV, Centro Stefano Franscini, Ascona, Switzerland, May 20–24, 2002. Proceedings. Basel: Birkhäuser (ISBN 3-7643-7131-5/hbk). Progress in Probability 58, 45-56 (2004).
MSC:  60G51
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On the problem of stochastic integral representations of functionals of the Brownian motion. I. (English. Russian original) Zbl 1057.60057

Theory Probab. Appl. 48, No. 2, 304-313 (2003); translation from Teor. Veroyatn. Primen. 48, No. 2, 375-385 (2003).
MSC:  60H05 60J65
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Exercises in probability. A guided tour from measure theory to random processes, via conditioning. (English) Zbl 1065.60001

Cambridge Series in Statistical and Probabilistic Mathematics 13. Cambridge University Press (ISBN 0-521-82585-7/hbk). xv, 236 p. (2003).
MSC:  60-01 00A07
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