Edit Profile (opens in new tab) Yor, Marc Compute Distance To: Compute Author ID: yor.marc Published as: Yor, Marc; Yor, M. External Links: MGP · Wikidata · Math-Net.Ru · GND · IdRef · theses.fr Documents Indexed: 469 Publications since 1973, including 20 Books 35 Contributions as Editor · 2 Further Contributions Biographic References: 7 Publications Co-Authors: 168 Co-Authors with 406 Joint Publications 3,913 Co-Co-Authors all top 5 Co-Authors 97 single-authored 43 Pitman, Jim William 38 Azéma, Jacques 36 Roynette, Bernard 23 Donati-Martin, Catherine 20 Madan, Dilip B. 20 Vallois, Pierre 17 Émery, Michel 16 Hirsch, Francis 15 Geman, Hélyette 15 Matsumoto, Hiroyuki 15 Meyer, Paul-André 13 Jeulin, Thierry 12 Bertoin, Jean 11 Yen, Ju-Yi J. 10 Petit, Frédérique 9 Barlow, Martin T. 9 Carmona, Philippe 8 Biane, Philippe 8 Salminen, Paavo H. 8 Shi, Zhan 7 Ledoux, Michel 6 Chaumont, Loïc 6 Fujita, Takahiko 6 Hariya, Yuu 6 Jeanblanc, Monique 5 Carr, Peter Paul 5 Hu, Yueyun 5 Le Gall, Jean-François 5 Nikeghbali, Ashkan 5 Peccati, Giovanni 5 Vakeroudis, Stavros 4 El Karoui, Nicole 4 Funaki, Tadahisa 4 Knight, Frank Bardsley 4 Revuz, Daniel 4 Rosenbaum, Mathieu 4 Shiryaev, Al’bert Nikolaevich 4 Song, Shiqi 4 Stroock, Daniel W. 4 Wu, Ching-Tang 4 Yano, Kouji 3 Bru, Bernard 3 Chesney, Marc 3 Eberlein, Ernst W. 3 Elworthy, K. David 3 Föllmer, Hans 3 Gallardo, Léonard 3 Jacka, Saul D. 3 Mansuy, Roger 3 Najnudel, Joseph 3 Pistorius, Martijn R. 3 Profeta, Christophe 3 Rouault, Alain 3 Stricker, Christophe 3 Yano, Yuko 3 Zani, Marguerite 2 Alili, Larbi 2 Bismut, Jean-Michel 2 Bourgade, Paul 2 Bruss, Franz Thomas 2 Burdzy, Krzysztof 2 Chassaing, Philippe 2 Dang Ngoc Nghiem 2 De Meyer, Bernard 2 Doeblin, Wolfgang 2 Doney, Ronald Arthur 2 Dubins, Lester E. 2 Dufresne, Daniel 2 Ewald, Christian-Oliver 2 Ghomrasni, Raouf 2 Gnedin, Alexander V. 2 Göing-Jaeschke, Anja 2 Gradinaru, Mihai 2 Gundy, Richard F. 2 Hughes, C. P. 2 Jacod, Jean 2 Kella, Offer 2 Kozlov, Sergeĭ Mikhaĭlovich 2 Lépingle, Dominique 2 Li, Xue-Mei 2 Marckert, Jean-François 2 Obloj, Jan K. 2 O’Connell, Neil 2 Pap, Gyula 2 Tsilevich, Natalia V. 2 Vares, Maria Eulalia 2 Vershik, Anatoliĭ Moiseevich 2 Warren, Jon 2 Weinryb, Sophie 2 Zambotti, Lorenzo 1 Atlan, Marc 1 Auerhan, J. 1 Balazard, Michel 1 Baldi, Paolo 1 Barrieu, Pauline M. 1 Bentkus, Vidmants-Kastytis 1 Berthelot, Pierre 1 Bickel, Peter John 1 Bony, Jean-Michel 1 Bouleau, Nicolas ...and 87 more Co-Authors all top 5 Serials 33 Lecture Notes in Mathematics 16 Stochastic Processes and their Applications 14 Electronic Communications in Probability 13 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 12 The Annals of Probability 12 Studia Scientiarum Mathematicarum Hungarica 12 Probability Theory and Related Fields 12 Comptes Rendus de l’Académie des Sciences. Série I 12 Comptes Rendus Hebdomadaires des Séances de l’Académie des Sciences, Série A 10 Mathematical Finance 9 Bernoulli 8 Journal of Applied Probability 7 Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete 7 Statistics & Probability Letters 7 Electronic Journal of Probability 6 Probability Surveys 5 Advances in Applied Probability 5 Periodica Mathematica Hungarica 5 Theory of Probability and its Applications 5 Publications of the Research Institute for Mathematical Sciences, Kyoto University 5 Probability and Mathematical Statistics 5 Revista Matemática Iberoamericana 5 Finance and Stochastics 5 Comptes Rendus de l’Académie des Sciences. Série I. Mathématique 4 Journal of Functional Analysis 4 Journal of Theoretical Probability 4 The Annals of Applied Probability 4 Annales de l’Institut Henri Poincaré. Nouvelle Série. Section B. Calcul des Probabilités et Statistique 4 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 4 Comptes Rendus. Mathématique. Académie des Sciences, Paris 4 Grundlehren der Mathematischen Wissenschaften 4 Japanese Journal of Mathematics. 3rd Series 3 Annales Scientifiques de l’École Normale Supérieure. Quatrième Série 3 Bulletin des Sciences Mathématiques. Deuxième Série 3 Gazette des Mathématiciens 3 Journal of Mathematics of Kyoto University 3 Journal of the Mathematical Society of Japan 3 Proceedings of the London Mathematical Society. Third Series 3 Quantitative Finance 3 Cambridge Series in Statistical and Probabilistic Mathematics 3 Springer Finance 2 Stochastics 2 Annales de l’Institut Fourier 2 Bulletin of the London Mathematical Society 2 Illinois Journal of Mathematics 2 Journal of the London Mathematical Society. Second Series 2 Nagoya Mathematical Journal 2 Transactions of the American Mathematical Society 2 Insurance Mathematics & Economics 2 Publicacions Matemàtiques 2 Bulletin of the American Mathematical Society. New Series 2 Notices of the American Mathematical Society 2 Stochastics and Stochastics Reports 2 Potential Analysis 2 Bulletin of the Belgian Mathematical Society - Simon Stevin 2 Computational and Applied Mathematics 2 Applied Mathematical Finance 2 Methodology and Computing in Applied Probability 2 Annals of Finance 1 Journal of Mathematical Analysis and Applications 1 Journal of Statistical Physics 1 Advances in Mathematics 1 Annales Scientifiques de l’Université de Clermont-Ferrand II. Mathématiques 1 Bulletin de la Société Mathématique de France 1 Canadian Journal of Mathematics 1 Duke Mathematical Journal 1 Osaka Journal of Mathematics 1 Proceedings of the Japan Academy. Series A 1 Ergodic Theory and Dynamical Systems 1 Journal of Economic Dynamics & Control 1 Journal of Physics A: Mathematical and General 1 Expositiones Mathematicae 1 Annales de la Faculté des Sciences de Toulouse. Mathématiques. Série VI 1 Journal of Mathematical Sciences (New York) 1 European Mathematical Society Newsletter 1 Markov Processes and Related Fields 1 Taiwanese Journal of Mathematics 1 International Journal of Theoretical and Applied Finance 1 Theory of Stochastic Processes 1 Asia-Pacific Financial Markets 1 Astérisque 1 Travaux en Cours 1 MSJ Memoirs 1 ALEA. Latin American Journal of Probability and Mathematical Statistics 1 Mathematics and Financial Economics 1 Journal of Physics A: Mathematical and Theoretical 1 Bocconi & Springer Series 1 Pacific Journal of Mathematics for Industry 1 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings and Surveys 1 Le Sel et le Fer 1 Universitext all top 5 Fields 474 Probability theory and stochastic processes (60-XX) 50 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 40 General and overarching topics; collections (00-XX) 19 History and biography (01-XX) 9 Special functions (33-XX) 9 Statistics (62-XX) 5 Number theory (11-XX) 5 Measure and integration (28-XX) 4 Statistical mechanics, structure of matter (82-XX) 3 Linear and multilinear algebra; matrix theory (15-XX) 3 Real functions (26-XX) 3 Dynamical systems and ergodic theory (37-XX) 2 Harmonic analysis on Euclidean spaces (42-XX) 2 Integral equations (45-XX) 2 Operator theory (47-XX) 2 Computer science (68-XX) 2 Systems theory; control (93-XX) 1 Algebraic geometry (14-XX) 1 Functions of a complex variable (30-XX) 1 Potential theory (31-XX) 1 Partial differential equations (35-XX) 1 Functional analysis (46-XX) 1 Convex and discrete geometry (52-XX) 1 Global analysis, analysis on manifolds (58-XX) 1 Mathematics education (97-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 407 Publications have been cited 8,634 times in 5,417 Documents Cited by ▼ Year ▼ Continuous martingales and Brownian motion. 3rd ed. Zbl 0917.60006Revuz, Daniel; Yor, Marc 1,377 1999 Continuous martingales and Brownian motion. Zbl 0731.60002Revuz, Daniel; Yor, Marc 556 1991 Mathematical methods for financial markets. Zbl 1205.91003Jeanblanc, Monique; Yor, Marc; Chesney, Marc 242 2009 Stochastic volatility for Lévy processes. Zbl 1092.91022Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc 237 2003 The two-parameter Poisson-Dirichlet distribution derived from a stable subordinator. Zbl 0880.60076Pitman, Jim; Yor, Marc 224 1997 Continuous martingales and Brownian motion. 2nd ed. Zbl 0804.60001Revuz, Daniel; Yor, Marc 209 1994 Continuous martingales and Brownian motion. 3rd ed., 3rd. corrected printing. Zbl 1087.60040Revuz, Daniel; Yor, Marc 195 2005 Bessel processes, Asian options, and perpetuities. Zbl 0884.90029Geman, Hélyette; Yor, Marc 156 1993 On some exponential functionals of Brownian motion. Zbl 0765.60084Yor, Marc 148 1992 A decomposition of Bessel bridges. Zbl 0484.60062Pitman, Jim; Yor, Marc 144 1982 Exponential functionals of Brownian motion and related processes. Zbl 0999.60004Yor, Marc 105 2001 A survey and some generalizations of Bessel processes. Zbl 1038.60079Göing-Jaeschke, Anja; Yor, Marc 103 2003 Size-biased sampling of Poisson point processes and excursions. Zbl 0741.60037Perman, Mihael; Pitman, Jim; Yor, Marc 91 1992 Semi-martingale inequalities via the Garsia-Rodemich-Rumsey lemma, and applications to local times. Zbl 0505.60054Barlow, M. T.; Yor, M. 85 1982 Brownian analogues of Burke’s theorem. Zbl 1058.60078O’Connell, Neil; Yor, Marc 84 2001 Brownian excursions and Parisian barrier options. Zbl 0882.60042Chesney, Marc; Jeanblanc-Picqué, Monique; Yor, Marc 84 1997 Changes of filtrations and of probability measures. Zbl 0415.60048Bremaud, Pierre; Yor, Marc 84 1978 Exponential functionals of Lévy processes. Zbl 1189.60096Bertoin, Jean; Yor, Marc 80 2005 Exponential functionals of Brownian motion. I: Probability laws at fixed time. Zbl 1189.60150Matsumoto, Hiroyuki; Yor, Marc 79 2005 On models of default risk. Zbl 1042.91038Elliott, R. J.; Jeanblanc, M.; Yor, M. 79 2000 Probability laws related to the Jacobi theta and Riemann zeta functions, and Brownian excursions. Zbl 1040.11061Biane, Philippe; Pitman, Jim; Yor, Marc 78 2001 On the distribution and asymptotic results for exponential functionals of Lévy processes. Zbl 0905.60056Carmona, Philippe; Petit, Frédérique; Yor, Marc 73 1997 Some aspects of Brownian motion, Part I: Some special functionals. Zbl 0779.60070Yor, Marc 68 1992 Pricing and hedging double-barrier options: A probabilistic approach. Zbl 0915.90016Geman, Hélyette; Yor, Marc 63 1996 Self-decomposability and option pricing. Zbl 1278.91157Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc 63 2007 Calcul stochastique dépendant d’un paramètre. Zbl 0388.60056Stricker, C.; Yor, M. 60 1978 Time changes for Lévy processes. Zbl 0983.60082Geman, Hélyette; Madan, Dilip B.; Yor, Marc 58 2001 Valeurs principales associées aux temps locaux Browniens. (Principal values associated to Brownian local times). Zbl 0619.60072Biane, Ph.; Yor, M. 57 1987 Markovian bridges: Construction, Palm interpretation, and splicing. Zbl 0844.60054Fitzsimmons, Pat; Pitman, Jim; Yor, Marc 55 1992 Equivalent and absolutely continuous measure changes for jump-diffusion processes. Zbl 1082.60034Cheridito, Patrick; Filipović, Damir; Yor, Marc 54 2005 Random times and enlargements of filtrations in a Brownian setting. Zbl 1103.60003Mansuy, Roger; Yor, Marc 53 2006 Bessel processes and infinitely divisible laws. Zbl 0469.60076Pitman, Jim; Yor, Marc 52 1981 Loi de l’indice du lacet Brownien, et distribution de Hartman-Watson. Zbl 0436.60057Yor, Marc 50 1980 Some aspects of Brownian motion. Part II: Some recent martingale problems. Zbl 0880.60082Yor, Marc 49 1997 Making Markov martingales meet marginals: With explicit constructions. Zbl 1009.60037Madan, Dilip B.; Yor, Marc 48 2002 Pricing options on realized variance. Zbl 1096.91022Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc 46 2005 Asymptotic laws of planar Brownian motion. Zbl 0607.60070Pitman, Jim; Yor, Marc 44 1986 Grossissement d’une filtration et semi-martingales: formules explicites. Zbl 0411.60045Jeulin, T.; Yor, M. 43 1978 On Walsh’s Brownian motions. Zbl 0747.60072Barlow, Martin; Pitman, Jim; Yor, Marc 42 1989 Exponential functionals of Brownian motion. II: Some related diffusion processes. Zbl 1189.91232Matsumoto, Hiroyuki; Yor, Marc 42 2005 Une solution simple au problème de Skorokhod. Zbl 0414.60055Azema, Jacques; Yor, Marc 40 1979 On subordinators, self-similar Markov processes and some factorizations of the exponential variable. Zbl 1024.60030Bertoin, Jean; Yor, Marc 39 2001 Peacocks and associated martingales, with explicit constructions. Zbl 1227.60001Hirsch, Francis; Profeta, Christophe; Roynette, Bernard; Yor, Marc 39 2011 A multi- dimensional extension of the arcsine law. (Une extension multidimensionnelle de la loi de l’arc sinus.) Zbl 0738.60072Barlow, Martin; Pitman, Jim; Yor, Marc 38 1989 The entrance laws of self-similar Markov processes and exponential functionals of Lévy processes. Zbl 1004.60046Bertoin, Jean; Yor, Marc 37 2002 Arcsine laws and interval partitions derived from a stable subordinator. Zbl 0769.60014Pitman, Jim; Yor, Marc 37 1992 Infinitely divisible laws associated with hyperbolic functions. Zbl 1039.11054Pitman, Jim; Yor, Marc 34 2003 The importance of strictly local martingales; applications to radial Ornstein-Uhlenbeck processes. Zbl 0960.60046Elworthy, K. D.; Li, Xue-Mei; Yor, M. 34 1999 Beta-gamma random variables and intertwining relations between certain Markov processes. Zbl 0919.60074Carmona, Philippe; Petit, Frédérique; Yor, Marc 34 1998 On the entire moments of self-similar Markov processes and exponential functionals of Lévy processes. Zbl 1031.60038Bertoin, Jean; Yor, Marc 33 2002 Generalized gamma convolutions, Dirichlet means, Thorin measures, with explicit examples. Zbl 1189.60035James, Lancelot F.; Roynette, Bernard; Yor, Marc 33 2008 An analogue of Pitman’s \(2M-X\) theorem for exponential Winer functionals. II: The role of the generalized inverse Gaussian laws. Zbl 0983.60075Matsumoto, Hiroyuki; Yor, Marc 33 2001 Exercises in probability. A guided tour from measure theory to random processes, via conditioning. Zbl 1065.60001Chaumont, L.; Yor, M. 32 2003 An infinite-dimensional analogue of the Lebesgue measure and distinguished properties of the gamma process. Zbl 0990.60053Tsilevich, Natalia; Vershik, Anatoly; Yor, Marc 32 2001 Exponential functionals of Brownian motion and disordered systems. Zbl 0929.60063Comtet, Alain; Monthus, Cécile; Yor, Marc 32 1998 On certain Markov processes attached to exponential functionals of Brownian motion; application to Asian options. Zbl 0979.60073Donati-Martin, Catherine; Ghomrasni, Raouf; Yor, Marc 31 2001 Aspects of Brownian motion. Zbl 1162.60022Mansuy, Roger; Yor, Marc 31 2008 A representation for non-colliding random walks. Zbl 1037.15019O’Connell, Neil; Yor, Marc 30 2002 Étude des solutions extremales et représentation intégrale des solutions pour certains problèmes de martingales. Zbl 0346.60032Jacod, Jean; Yor, Marc 30 1977 Sur la variation quadratique des temps locaux de certaines semimartingales. Zbl 0476.60046Bouleau, Nicolas; Yor, Marc 30 1981 Grossissements de filtrations: exemples et applications. Séminaire de Calcul Stochastique 1982/83, Université Paris VI. Zbl 0547.00034 30 1985 Asymptotic laws for compositions derived from transformed subordinators. Zbl 1142.60327Gnedin, Alexander; Pitman, Jim; Yor, Marc 29 2006 Hitting, occupation and inverse local times of one-dimensional diffusions: Martingale and excursion approaches. Zbl 1024.60032Pitman, Jim; Yor, Marc 27 2003 (Semi-) martingale inequalities and local times. Zbl 0451.60050Barlow, M. T.; Yor, M. 26 1981 Some properties of the Wishart processes and a matrix extension of the Hartman-Watson laws. Zbl 1076.60067Donati-Martin, Catherine; Doumerc, Yan; Matsumoto, Hiroyuki; Yor, Marc 25 2004 Exponential functionals of Lévy processes. Zbl 0979.60038Carmona, Philippe; Petit, Frédérique; Yor, Marc 25 2001 On quadratic functionals of the Brownian sheet and related processes. Zbl 1090.60020Deheuvels, Paul; Peccati, Giovanni; Yor, Marc 24 2006 Doob’s maximal identity, multiplicative decompositions and enlargements of filtrations. Zbl 1101.60059Nikeghbali, Ashkan; Yor, Marc 24 2006 Some penalisations of the Wiener measure. Zbl 1160.60315Roynette, B.; Vallois, P.; Yor, M. 24 2006 An analogue of Pitman’s \(2M-X\) theorem for exponential Wiener functionals. I: A time-inversion approach. Zbl 0963.60076Matsumoto, Hiroyuki; Yor, Marc 24 2000 A definition and some characteristic properties of pseudo-stopping times. Zbl 1083.60035Nikeghbali, Ashkan; Yor, Marc 23 2005 Fubini’s theorem for double Wiener integrals and the variance of the Brownian path. Zbl 0738.60074Donati-Martin, C.; Yor, M. 23 1991 Decomposition at the maximum for excursions and bridges of one-dimensional diffusions. Zbl 0877.60053Pitman, Jim; Yor, Marc 23 1996 Existence et unicité de diffusions à valeurs dans un espace de Hilbert. Zbl 0281.60094Yor, M. 23 1974 On the excursion theory for linear diffusions. Zbl 1160.60024Salminen, Paavo; Vallois, Pierre; Yor, Marc 22 2007 On certain exponential functionals of the real Bownian motion. (Sur certaines fonctionnelles exponentielles du mouvement brownien réel.) Zbl 0758.60085Yor, Marc 21 1992 Limiting laws associated with Brownian motion perturbed by its maximum, minimum and local time, II. Zbl 1121.60004Roynette, Bernard; Vallois, Pierre; Yor, Marc 21 2006 Les inégalités des sous-martingales, comme consequences de la rélation de domination. Zbl 0437.60038Yor, Marc 20 1979 On the exponential functionals of certain Lévy processes. (Sur les fonctionnelles exponentielles de certains processus de Lévy.) Zbl 0830.60072Carmona, P.; Petit, F.; Yor, M. 19 1994 On D. Williams’ ”pinching method” and some applications. Zbl 0518.60088Messulam, P.; Yor, M. 19 1982 The characteristic polynomial of a random unitary matrix: a probabilistic approach. Zbl 1155.15025Bourgade, P.; Hughes, C. P.; Nikeghbali, A.; Yor, M. 19 2008 Ito’s integrated formula for strict local martingales. Zbl 1133.60025Madan, Dilip B.; Yor, Marc 19 2006 Renormalisation et convergence en loi pour les temps locaux d’intersection du mouvement brownien dans \({\mathbb{R}}^ 3\). Zbl 0569.60075Yor, M. 19 1985 Some new examples of Markov processes which enjoy the time-inversion property. Zbl 1087.60058Gallardo, Léonard; Yor, Marc 18 2005 Some martingales associated to reflected Lévy processes. Zbl 1079.60048Nguyen-Ngoc, Laurent; Yor, Marc 18 2005 A study of the Hartman-Watson distribution motivated by numerical problems related to the pricing of Asian options. Zbl 1064.60021Barrieu, P.; Rouault, A.; Yor, M. 18 2004 The Brownian burglar: Conditioning Brownian motion by its local time process. Zbl 0924.60072Warren, J.; Yor, M. 18 1998 Further asymptotic laws of planar Brownian motion. Zbl 0686.60085Pitman, Jim; Yor, Marc 18 1989 Harnesses, Lévy bridges and Monsieur Jourdain. Zbl 1070.60041Mansuy, Roger; Yor, Marc 17 2005 A clarification note about hitting times densities for Ornstein-Uhlenbeck processes. Zbl 1064.60026Göing-Jaeschke, Anja; Yor, Marc 17 2003 Self-similar processes with independent increments associated with Lévy and Bessel processes. Zbl 1059.60052Jeanblanc, M.; Pitman, Jim; Yor, Marc 17 2002 A relationship between Brownian motions with opposite drifts via certain enlargements of the Brownian filtration. Zbl 0981.60078Matsumoto, Hiroyuki; Yor, Marc 17 2001 Inégalité de Hardy, semimartingales, et faux-amis. Zbl 0419.60049Jeulin, T.; Yor, M. 17 1979 Asymptotic laws for regenerative compositions: gamma subordinators and the like. Zbl 1099.60023Gnedin, Alexander; Pitman, Jim; Yor, Marc 16 2006 On Dufresne’s relation between the probability laws of exponential functionals of Brownian motions with different drifts. Zbl 1030.60077Matsumoto, Hiroyuki; Yor, Marc 16 2003 Stochastic time changes in catastrophe option pricing. Zbl 0894.90046Geman, Helyette; Yor, Marc 16 1997 Exponential functionals and principal values related to Brownian motion. A collection of research papers. Zbl 0889.00015 16 1997 On Bougerol’s inequality for exponential functions of Brownian motions. (Sur l’identité de Bougerol pour les fonctionnelles exponentielles du mouvement brownien avec drift.) Zbl 0905.60059Alili, Larbi; Dufresne, Daniel; Yor, Marc 16 1997 On a theorem of Tsirelson with respect to Brownian and non-Brownian filtrations. (Autour d’un théorème de Tsirelson sur des filtrations browniennes et non browniennes.) Zbl 0914.60064Barlow, M. T.; Émery, M.; Knight, F. B.; Song, S.; Yor, M. 16 1998 On probability characteristics of “downfalls” in a standard Brownian motion. Zbl 0959.60073Douady, R.; Shiryaev, A. N.; Yor, M. 16 1999 On peacocks and lyrebirds: Australian options, Brownian bridges, and the average of submartingales. Zbl 1390.91299Ewald, Christian-Oliver; Yor, Marc 2 2018 Unifying the Dynkin and Lebesgue-Stieltjes formulae. Zbl 1400.60059Kella, Offer; Yor, Marc 2 2017 On valuing stochastic perpetuities using new long horizon stock price models distinguishing booms, busts, and balanced markets. Zbl 1348.91272Madan, Dilip B.; Yor, Marc 3 2016 Kellerer’s theorem revisited. Zbl 1368.60045Hirsch, Francis; Roynette, Bernard; Yor, Marc 7 2015 Around Tsirelson’s equation, or: the evolution process may not explain everything. Zbl 1328.60170Yano, Kouji; Yor, Marc 5 2015 Integral representations of certain measures in the one-dimensional diffusions excursion theory. Zbl 1334.60165Salminen, Paavo; Yen, Ju-Yi; Yor, Marc 2 2015 Some explicit formulas for the Brownian bridge, Brownian meander and Bessel process under uniform sampling. Zbl 1333.60181Rosenbaum, Mathieu; Yor, Marc 2 2015 On increasing risk, inequality and poverty measures: peacocks, lyrebirds and exotic options. Zbl 1401.91135Ewald, Christian-Oliver; Yor, Marc 2 2015 A Gaussian martingale which is the sum of two independent Gaussian non-semimartingales. Zbl 1329.60099Yor, Marc 1 2015 Random scaling and sampling of Brownian motion. Zbl 1335.60157Rosenbaum, Mathieu; Yor, Marc 1 2015 Bid and ask prices as non-linear continuous time G-expectations based on distortions. Zbl 1307.91086Eberlein, Ernst; Madan, Dilip B.; Pistorius, Martijn; Yor, Marc 14 2014 Two price economies in continuous time. Zbl 1298.91086Eberlein, Ernst; Madan, Dilip; Pistorius, Martijn; Schoutens, Wim; Yor, Marc 12 2014 How to make Dupire’s local volatility work with jumps. Zbl 1402.91776Friz, Peter K.; Gerhold, Stefan; Yor, Marc 10 2014 On the expectation of normalized Brownian functionals up to first hitting times. Zbl 1291.60164Elie, Romuald; Rosenbaum, Mathieu; Yor, Marc 4 2014 On the law of a triplet associated with the pseudo-Brownian bridge. Zbl 1390.60298Rosenbaum, Mathieu; Yor, Marc 3 2014 Local times for functions with finite variation: two versions of Stieltjes change-of-variables formula. Zbl 1295.26011Bertoin, Jean; Yor, Marc 2 2014 Comparing Brownian stochastic integrals for the convex order. Zbl 1322.60079Hirsch, Francis; Yor, Marc 1 2014 On the one-sided maximum of Brownian and random walk fragments and its applications to new exotic options called “meander option”. Zbl 1386.91140Fujita, Takahiko; Kawanishi, Yasuhiro; Yor, Marc 1 2014 Local times and excursion theory for Brownian motion. A tale of Wiener and Itô measures. Zbl 1364.60003Yen, Ju-Yi; Yor, Marc 9 2013 On the Mellin transforms of the perpetuity and the remainder variables associated to a subordinator. Zbl 1287.60096Hirsch, Francis; Yor, Marc 8 2013 Integrability properties and limit theorems for the exit time from a cone of planar Brownian motion. Zbl 1294.60103Vakeroudis, Stavros; Yor, Marc 5 2013 Some two-dimensional extensions of Bougerol’s identity in law for the exponential functional of linear Brownian motion. Zbl 1303.60073Bertoin, Jean; Dufresne, Daniel; Yor, Marc 4 2013 On the remarkable Lamperti representation of the inverse local time of a radial Ornstein-Uhlenbeck process. Zbl 1287.60048Hirsch, Francis; Yor, Marc 3 2013 A simple stochastic rate model for rate equity hybrid products. Zbl 1396.91780Eberlein, Ernst; Madan, Dilip; Pistorius, Martijn; Yor, Marc 2 2013 Retrieving information from subordination. Zbl 1284.60084Bertoin, Jean; Yor, Marc 2 2013 Some examples of Skorokhod embeddings obtained from the Azéma-Yor algorithm. Zbl 1258.60032Lim, Adrian P. C.; Yen, Ju-Yi; Yor, Marc 2 2013 Pure jump increasing processes and the change of variables formula. Zbl 1306.60120Bertoin, Jean; Yor, Marc 1 2013 On an identity in law between Brownian quadratic functionals. Zbl 1290.60081Yen, Ju-Yi; Yor, Marc 1 2013 Exercises in probability. A guided tour from measure theory to random processes via conditioning. 2nd ed. Zbl 1246.60001Chaumont, Loïc; Yor, Marc 6 2012 Some infinite divisibility properties of the reciprocal of planar Brownian motion exit time from a cone. Zbl 1259.60097Vakeroudis, Stavros; Yor, Marc 4 2012 Stochastic processes with proportional increments and the last-arrival problem. Zbl 1255.60166Bruss, F. Thomas; Yor, Marc 4 2012 On temporally completely monotone functions for Markov processes. Zbl 1245.60071Hirsch, Francis; Yor, Marc 3 2012 A scaling proof for Walsh’s Brownian motion extended arc-sine law. Zbl 1323.60115Vakeroudis, Stavros; Yor, Marc 2 2012 Stochastic filtering at Saint-Flour. Reprint of lectures originally published in the Lecture Notes in Mathematics volumes 876 (1981) and 1464 (1991). Zbl 1397.60010El Karoui, Nicole; Pardoux, Etienne; Yor, Marc 2 2012 A central limit theorem for a sequence of Brownian motions in the unit sphere in \(\mathbb R^{n}\). Zbl 1239.60022Vakeroudis, S.; Yor, M. 2 2012 Moments of Wiener integrals for subordinators. Zbl 1329.60165Madan, Dilip; Yor, Marc 1 2012 Peacocks and associated martingales, with explicit constructions. Zbl 1227.60001Hirsch, Francis; Profeta, Christophe; Roynette, Bernard; Yor, Marc 39 2011 The mean first rotation time of a planar polymer. Zbl 1221.82159Vakeroudis, S.; Yor, M.; Holcman, D. 11 2011 On hitting times of affine boundaries by reflecting Brownian motion and Bessel processes. Zbl 1274.60251Salminen, Paavo; Yor, Marc 8 2011 The S&P 500 index as a Sato process travelling at the speed of the VIX. Zbl 1239.91186Madan, Dilip B.; Yor, Marc 5 2011 Call option prices based on Bessel processes. Zbl 1217.60071Yen, Ju-Yi; Yor, Marc 4 2011 Constructing self-similar martingales via two Skorokhod embeddings. Zbl 1234.60047Hirsch, Francis; Profeta, Christophe; Roynette, Bernard; Yor, Marc 3 2011 A sequence of Albin type continuous martingales with Brownian marginals and scaling. Zbl 1216.60039Baker, David; Donati-Martin, Catherine; Yor, Marc 2 2011 From an Itô type calculus for Gaussian processes to integrals of log-normal processes increasing in the convex order. Zbl 1233.60008Hirsch, Francis; Roynette, Bernard; Yor, Marc 2 2011 Options on realized variance and convex orders. Zbl 1277.91164Carr, Peter; Geman, Helyette; Madan, Dilip B.; Yor, Marc 1 2011 Option prices as probabilities. A new look at generalized Black-Scholes formulae. Zbl 1188.91004Profeta, Christophe; Roynette, Bernard; Yor, Marc 15 2010 Penalisation of a stable Lévy process involving its one-sided supremum. Zbl 1208.60046Yano, Kouji; Yano, Yuko; Yor, Marc 4 2010 Unifying constructions of martingales associated with processes increasing in the convex order, via Lévy and Sato sheets. Zbl 1223.60027Hirsch, Francis; Roynette, Bernard; Yor, Marc 3 2010 Looking for martingales associated to a self-decomposable law. Zbl 1225.60131Hirsch, Francis; Yor, Marc 3 2010 A new formula for some linear stochastic equations with applications. Zbl 1196.60122Kella, Offer; Yor, Marc 2 2010 Applying Itō’s motto: “Look at the infinite dimensional picture” by constructing sheets to obtain processes increasing in the convex order. Zbl 1274.60052Hirsch, Francis; Roynette, Bernard; Yor, Marc 2 2010 A tribute to Professor Kiyosi Itô. Zbl 1178.01066Yor, M.; Vares, M. E.; Mikosch, T. 1 2010 Mathematical methods for financial markets. Zbl 1205.91003Jeanblanc, Monique; Yor, Marc; Chesney, Marc 242 2009 Penalising Brownian paths. Dedicated to Frank Knight (1933-2007). Zbl 1190.60002Roynette, Bernard; Yor, Marc 15 2009 On the laws of first hitting times of points for one-dimensional symmetric stable Lévy processes. Zbl 1201.60043Yano, Kouji; Yano, Yuko; Yor, Marc 14 2009 Penalising symmetric stable Lévy paths. Zbl 1180.60008Yano, Kouji; Yano, Yuko; Yor, Marc 11 2009 A global view of Brownian penalisations. Zbl 1180.60004Najnudel, J.; Roynette, B.; Yor, M. 11 2009 A Brownian sheet martingale with the same marginals as the arithmetic average of geometric Brownian motion. Zbl 1201.60033Baker, David; Yor, Marc 9 2009 The Barnes G function and its relations with sums and products of generalized gamma convolution variables. Zbl 1189.60073Nikeghbali, Ashkan; Yor, Marc 7 2009 A construction of processes with one-dimensional martingale marginals, associated with a Lévy process, via its Lévy sheet. Zbl 1191.60040Hirsch, Francis; Yor, Marc 6 2009 A construction of processes with one dimensional martingale marginals, based upon path-space Ornstein-Uhlenbeck processes and the Brownian sheet. Zbl 1203.60122Hirsch, Francis; Yor, Marc 6 2009 Exercises in probability. A guided tour from measure theory to random processes, via conditioning. Reprint of the 2003 hardback ed. Zbl 1180.60002Chaumont, L.; Yor, M. 5 2009 Brownian penalisations related to excursion lengths. VII. Zbl 1181.60046Roynette, B.; Vallois, P.; Yor, M. 4 2009 Fractional intertwinings between two Markov semigroups. Zbl 1175.26010Hirsch, F.; Yor, M. 4 2009 Penalisations of multidimensional Brownian motion. VI. Zbl 1189.60069Roynette, Bernard; Vallois, Pierre; Yor, Marc 4 2009 Put option prices as joint distribution functions in strike and maturity: the Black-Scholes case. Zbl 1183.91179Madan, Dilip B.; Roynette, Bernard; Yor, Marc 2 2009 A family of generalized gamma convoluted variables. Zbl 1197.60012Roynette, B.; Vallois, P.; Yor, M. 2 2009 Generalized gamma convolutions, Dirichlet means, Thorin measures, with explicit examples. Zbl 1189.60035James, Lancelot F.; Roynette, Bernard; Yor, Marc 33 2008 Aspects of Brownian motion. Zbl 1162.60022Mansuy, Roger; Yor, Marc 31 2008 The characteristic polynomial of a random unitary matrix: a probabilistic approach. Zbl 1155.15025Bourgade, P.; Hughes, C. P.; Nikeghbali, A.; Yor, M. 19 2008 On constants related to the choice of the local time at \(0\), and the corresponding Itô measure for Bessel processes with dimension \(d=2(1-\alpha), 0<\alpha<1\). Zbl 1212.60070Donati-Martin, Catherine; Roynette, Bernard; Vallois, Pierre; Yor, Marc 11 2008 On the time to reach maximum for a variety of constrained Brownian motions. Zbl 1195.82020Majumdar, Satya N.; Randon-Furling, Julien; Kearney, Michael J.; Yor, Marc 10 2008 Harmonic and stochastic analysis of Dunkl processes. Zbl 1205.60005 8 2008 Unifying Black-Scholes type formulae which involve Brownian last passage times up to a finite horizon. Zbl 1163.91414Madan, Dilip B.; Roynette, Bernard; Yor, Marc 8 2008 An arithmetic model for the total disorder process. Zbl 1144.60020Hughes, C. P.; Nikeghbali, A.; Yor, M. 7 2008 Quasi-invariance properties of a class of subordinators. Zbl 1180.60044von Renesse, Max-K.; Yor, Marc; Zambotti, Lorenzo 6 2008 Penalizing a \(BES(d)\) process \((0<d<2)\) with a function of its local time. V. Zbl 1164.60307Roynette, Bernard; Vallois, Pierre; Yor, Marc 6 2008 Renewal series and square-root boundaries for Bessel processes. Zbl 1190.60031Enriquez, Nathanael; Sabot, Christophe; Yor, Marc 3 2008 Penalisations of Brownian motion with its maximum and minimum processes as weak forms of Skorokhod embedding. Zbl 1224.60076Roynette, B.; Vallois, P.; Yor, M. 2 2008 Ten penalisation results of Brownian motion involving its one-sided supremum until first and last passage times. VIII. Zbl 1180.60070Roynette, B.; Yor, M. 1 2008 Self-decomposability and option pricing. Zbl 1278.91157Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc 63 2007 On the excursion theory for linear diffusions. Zbl 1160.60024Salminen, Paavo; Vallois, Pierre; Yor, Marc 22 2007 Tanaka formula for symmetric Lévy processes. Zbl 1129.60043Salminen, Paavo; Yor, Marc 7 2007 Euler’s formulae for \(\zeta(2n)\) and products of Cauchy variables. Zbl 1129.60088Bourgade, Paul; Fujita, Takahiko; Yor, Marc 7 2007 Itô’s excursion theory and its applications. Zbl 1156.60066Pitman, Jim; Yor, Marc 7 2007 Some remarkable properties of gamma processes. Zbl 1156.60030Yor, Marc 6 2007 On the remarkable distributions of maxima of some fragments of the standard reflecting random walk and Brownian motion. Zbl 1130.60051Fujita, Takahiko; Yor, Marc 4 2007 Further examples of explicit Krein representations of certain subordinators. Zbl 1129.60042Donati-Martin, Catherine; Yor, Marc 4 2007 A remarkable \(\sigma \)-finite measure on \(\mathcal C(\mathbb{R}_+,\mathbb{R})\) related to many Brownian penalisations. Zbl 1221.60003Najnudel, Joseph; Roynette, Bernard; Yor, Marc 4 2007 Correlation and the pricing of risks. Zbl 1233.91320Atlan, Marc; Geman, Hélyette; Madan, Dilip B.; Yor, Marc 4 2007 Some extensions of Pitman and Ray-Knight theorems for penalized Brownian motions and their local times, IV. Zbl 1164.60355Roynette, Bernard; Vallois, Pierre; Yor, Marc 4 2007 On the problem of stochastic integral representations of functionals of the Brownian motion. II. Zbl 1116.60022Graversen, S.; Shiryaev, A. N.; Yor, M. 3 2007 Probing option prices for information. Zbl 1157.60067Geman, Hélyette; Madan, Dilip B.; Yor, Marc 2 2007 Wiener integrals for centered powers of Bessel processes. I. Zbl 1123.60035Funaki, T.; Hariya, Y.; Yor, M. 2 2007 Some aspects of the probabilistic work. Zbl 1369.60003Chaumont, Loïc; Mazliak, Laurent; Yor, Marc 2 2007 On some Fourier aspects of the construction of certain Wiener integrals. Zbl 1113.60055Funaki, T.; Hariya, Y.; Hirsch, F.; Yor, M. 1 2007 A note about Selberg’s integrals in relation with the beta-gamma algebra. Zbl 1160.33002Yor, Marc 1 2007 Random times and enlargements of filtrations in a Brownian setting. Zbl 1103.60003Mansuy, Roger; Yor, Marc 53 2006 Asymptotic laws for compositions derived from transformed subordinators. Zbl 1142.60327Gnedin, Alexander; Pitman, Jim; Yor, Marc 29 2006 On quadratic functionals of the Brownian sheet and related processes. Zbl 1090.60020Deheuvels, Paul; Peccati, Giovanni; Yor, Marc 24 2006 ...and 307 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 4,976 Authors 123 Yor, Marc 52 Madan, Dilip B. 39 Jeanblanc, Monique 38 Pitman, Jim William 31 Vallois, Pierre 27 Le Gall, Jean-François 24 Gapeev, Pavel V. 24 Ouknine, Youssef 24 Russo, Francesco 23 Bertoin, Jean 23 Nualart, David 23 Patie, Pierre 23 Shi, Zhan 21 Imkeller, Peter 21 Kyprianou, Andreas E. 21 Nikeghbali, Ashkan 21 Roynette, Bernard 20 Pardo, Juan Carlos 20 Yan, Litan 19 Ankirchner, Stefan 19 Favaro, Stefano 19 Hobson, David Graham 19 Iksanov, Aleksander M. 19 Khoshnevisan, Davar 19 Peccati, Giovanni 19 Yano, Kouji 18 Albeverio, Sergio A. 18 Peskir, Goran 18 Röckner, Michael 18 Schoutens, Wim 18 Zambotti, Lorenzo 17 Corwin, Ivan Z. 17 Hairer, Martin 17 Najnudel, Joseph 17 O’Connell, Neil 17 Protter, Philip Elliott 17 Sheffield, Scott 16 Carr, Peter Paul 16 Dalang, Robert C. 16 Ferrari, Giorgio 16 Mijatović, Aleksandar 16 Palmowski, Zbigniew 16 Pardoux, Etienne 16 Prünster, Igor 16 Rutkowski, Marek 16 Simon, Thomas 16 Werner, Wendelin 16 Winkel, Matthias 16 Wiśniewolski, Maciej 15 Barczy, Mátyás 15 Cui, Zhenyu 15 El Karoui, Nicole 15 Hamadene, Saïd 15 Jakubowski, Jacek 15 Janson, Svante 15 Karatzas, Ioannis 15 Pal, Soumik 15 Platen, Eckhard 15 Touzi, Nizar 15 Wesołowski, Jacek 14 Flandoli, Franco 14 James, Lancelot F. 14 Kardaras, Constantinos 14 Obloj, Jan K. 14 Pistorius, Martijn R. 14 Privault, Nicolas 14 Schachermayer, Walter 14 Siu, Tak Kuen 13 Beiglböck, Mathias 13 Dassios, Angelos 13 Engelbert, Hans-Jürgen 13 Gnedin, Alexander V. 13 Gobet, Emmanuel 13 Lijoi, Antonio 13 Linetsky, Vadim 13 Matsumoto, Hiroyuki 13 Pap, Gyula 13 Rivero, Víctor Manuel 13 Zhou, Xiaowen 12 Borodin, Alexei 12 Curien, Nicolas 12 Demni, Nizar 12 Döring, Leif 12 Eberlein, Ernst W. 12 Fontana, Claudio 12 Forde, Martin 12 Hu, Yueyun 12 Huillet, Thierry E. 12 Jacquier, Antoine 12 Katori, Makoto 12 Majumdar, Satya N. 12 Miller, Jason P. 12 Osękowski, Adam 12 Petrović, Ljiljana 12 Rogers, L. C. G. 12 Urusov, Mikhail A. 12 Wang, Guojing 12 Wang, Yongjin 12 Wu, Rong 12 Zhang, Xicheng ...and 4,876 more Authors all top 5 Cited in 468 Serials 468 Stochastic Processes and their Applications 258 The Annals of Probability 198 Probability Theory and Related Fields 182 The Annals of Applied Probability 169 Statistics & Probability Letters 135 Journal of Theoretical Probability 117 Annales de l’Institut Henri Poincaré. 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