Edit Profile Yor, Marc Compute Distance To: Compute Author ID: yor.marc Published as: Yor, M.; Yor, Marc External Links: MGP · Math-Net.Ru · Wikidata · GND Documents Indexed: 503 Publications since 1973, including 54 Books Biographic References: 7 Publications all top 5 Co-Authors 98 single-authored 43 Pitman, Jim William 37 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 12 Bertoin, Jean 12 Jeulin, Thierry 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 P. 5 Hu, Yueyun 5 Le Gall, Jean-François 5 Nikeghbali, Ashkan 5 Peccati, Giovanni 5 Vakeroudis, Stavros 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 Chesney, Marc 3 Eberlein, Ernst W. 3 Elworthy, K. David 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 Baker, David John 2 Bourgade, Paul 2 Bru, Bernard 2 Bruss, Franz Thomas 2 Burdzy, Krzysztof 2 Chassaing, Philippe 2 Dang Ngoc Nghiem 2 De Meyer, Bernard 2 Doney, Ronald Arthur 2 Dubins, Lester E. 2 Dufresne, Daniel 2 El Karoui, Nicole 2 Ewald, Christian-Oliver 2 Föllmer, Hans 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, Sergei M. 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 Baker, David M. 1 Balazard, Michel 1 Baldi, Paolo 1 Barrieu, Pauline M. 1 Bentkus, Vidmants-Kastytis 1 Bickel, Peter John 1 Bismut, Jean-Michel 1 Bony, Jean-Michel 1 Bouleau, Nicolas ...and 71 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 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 Universitext all top 5 Fields 473 Probability theory and stochastic processes (60-XX) 50 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 39 General and overarching topics; collections (00-XX) 17 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 402 Publications have been cited 7,899 times in 4,876 Documents Cited by ▼ Year ▼ Continuous martingales and Brownian motion. 3rd ed. Zbl 0917.60006Revuz, Daniel; Yor, Marc 1,205 1999 Continuous martingales and Brownian motion. Zbl 0731.60002Revuz, Daniel; Yor, Marc 544 1991 Continuous martingales and Brownian motion. 3rd ed., 3rd. corrected printing. Zbl 1087.60040Revuz, Daniel; Yor, Marc 219 2005 Stochastic volatility for Lévy processes. Zbl 1092.91022Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc 212 2003 Continuous martingales and Brownian motion. 2nd ed. Zbl 0804.60001Revuz, Daniel; Yor, Marc 212 1994 Mathematical methods for financial markets. Zbl 1205.91003Jeanblanc, Monique; Yor, Marc; Chesney, Marc 198 2009 The two-parameter Poisson-Dirichlet distribution derived from a stable subordinator. Zbl 0880.60076Pitman, Jim; Yor, Marc 192 1997 Bessel processes, Asian options, and perpetuities. Zbl 0884.90029Geman, Hélyette; Yor, Marc 144 1993 A decomposition of Bessel bridges. Zbl 0484.60062Pitman, Jim; Yor, Marc 128 1982 On some exponential functionals of Brownian motion. Zbl 0765.60084Yor, Marc 127 1992 Exponential functionals of Brownian motion and related processes. Zbl 0999.60004Yor, Marc 93 2001 A survey and some generalizations of Bessel processes. Zbl 1038.60079Göing-Jaeschke, Anja; Yor, Marc 84 2003 Semi-martingale inequalities via the Garsia-Rodemich-Rumsey lemma, and applications to local times. Zbl 0505.60054Barlow, M. T.; Yor, M. 81 1982 Size-biased sampling of Poisson point processes and excursions. Zbl 0741.60037Perman, Mihael; Pitman, Jim; Yor, Marc 78 1992 Brownian excursions and Parisian barrier options. Zbl 0882.60042Chesney, Marc; Jeanblanc-Picqué, Monique; Yor, Marc 77 1997 Changes of filtrations and of probability measures. Zbl 0415.60048Bremaud, Pierre; Yor, Marc 75 1978 Exponential functionals of Lévy processes. Zbl 1189.60096Bertoin, Jean; Yor, Marc 71 2005 On models of default risk. Zbl 1042.91038Elliott, R. J.; Jeanblanc, M.; Yor, M. 71 2000 Some aspects of Brownian motion, Part I: Some special functionals. Zbl 0779.60070Yor, Marc 71 1992 Brownian analogues of Burke’s theorem. Zbl 1058.60078O’Connell, Neil; Yor, Marc 69 2001 On the distribution and asymptotic results for exponential functionals of Lévy processes. Zbl 0905.60056Carmona, Philippe; Petit, Frédérique; Yor, Marc 69 1997 Probability laws related to the Jacobi theta and Riemann zeta functions, and Brownian excursions. Zbl 1040.11061Biane, Philippe; Pitman, Jim; Yor, Marc 68 2001 Exponential functionals of Brownian motion. I: Probability laws at fixed time. Zbl 1189.60150Matsumoto, Hiroyuki; Yor, Marc 62 2005 Calcul stochastique dépendant d’un paramètre. Zbl 0388.60056Stricker, C.; Yor, M. 59 1978 Bessel processes and infinitely divisible laws. Zbl 0469.60076Pitman, Jim; Yor, Marc 57 1981 Pricing and hedging double-barrier options: A probabilistic approach. Zbl 0915.90016Geman, Hélyette; Yor, Marc 54 1996 Self-decomposability and option pricing. Zbl 1278.91157Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc 53 2007 Time changes for Lévy processes. Zbl 0983.60082Geman, Hélyette; Madan, Dilip B.; Yor, Marc 53 2001 Valeurs principales associées aux temps locaux Browniens. (Principal values associated to Brownian local times). Zbl 0619.60072Biane, Ph.; Yor, M. 53 1987 Random times and enlargements of filtrations in a Brownian setting. Zbl 1103.60003Mansuy, Roger; Yor, Marc 50 2006 Equivalent and absolutely continuous measure changes for jump-diffusion processes. Zbl 1082.60034Cheridito, Patrick; Filipović, Damir; Yor, Marc 50 2005 Markovian bridges: Construction, Palm interpretation, and splicing. Zbl 0844.60054Fitzsimmons, Pat; Pitman, Jim; Yor, Marc 50 1992 Some aspects of Brownian motion. Part II: Some recent martingale problems. Zbl 0880.60082Yor, Marc 49 1997 Loi de l’indice du lacet Brownien, et distribution de Hartman-Watson. Zbl 0436.60057Yor, Marc 48 1980 Making Markov martingales meet marginals: With explicit constructions. Zbl 1009.60037Madan, Dilip B.; Yor, Marc 43 2002 Pricing options on realized variance. Zbl 1096.91022Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc 42 2005 Grossissement d’une filtration et semi-martingales: formules explicites. Zbl 0411.60045Jeulin, T.; Yor, M. 42 1978 Asymptotic laws of planar Brownian motion. Zbl 0607.60070Pitman, Jim; Yor, Marc 40 1986 Exponential functionals of Brownian motion. II: Some related diffusion processes. Zbl 1189.91232Matsumoto, Hiroyuki; Yor, Marc 36 2005 Grossissements de filtrations: exemples et applications. Séminaire de Calcul Stochastique 1982/83, Université Paris VI. Zbl 0547.00034Jeulin, Th. (ed.); Yor, M. (ed.) 36 1985 Une solution simple au problème de Skorokhod. Zbl 0414.60055Azema, Jacques; Yor, Marc 36 1979 Exercises in probability. A guided tour from measure theory to random processes, via conditioning. Zbl 1065.60001Chaumont, L.; Yor, M. 35 2003 On Walsh’s Brownian motions. Zbl 0747.60072Barlow, Martin; Pitman, Jim; Yor, Marc 35 1989 Peacocks and associated martingales, with explicit constructions. Zbl 1227.60001Hirsch, Francis; Profeta, Christophe; Roynette, Bernard; Yor, Marc 34 2011 The entrance laws of self-similar Markov processes and exponential functionals of Lévy processes. Zbl 1004.60046Bertoin, Jean; Yor, Marc 34 2002 On subordinators, self-similar Markov processes and some factorizations of the exponential variable. Zbl 1024.60030Bertoin, Jean; Yor, Marc 34 2001 Beta-gamma random variables and intertwining relations between certain Markov processes. Zbl 0919.60074Carmona, Philippe; Petit, Frédérique; Yor, Marc 34 1998 A multi- dimensional extension of the arcsine law. Zbl 0738.60072Barlow, Martin; Pitman, Jim; Yor, Marc 34 1989 On the entire moments of self-similar Markov processes and exponential functionals of Lévy processes. Zbl 1031.60038Bertoin, Jean; Yor, Marc 32 2002 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 The importance of strictly local martingales; applications to radial Ornstein-Uhlenbeck processes. Zbl 0960.60046Elworthy, K. D.; Li, Xue-Mei; Yor, M. 32 1999 Generalized gamma convolutions, Dirichlet means, Thorin measures, with explicit examples. Zbl 1189.60035James, Lancelot F.; Roynette, Bernard; Yor, Marc 31 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 31 2001 Arcsine laws and interval partitions derived from a stable subordinator. Zbl 0769.60014Pitman, Jim; Yor, Marc 31 1992 Étude des solutions extremales et représentation intégrale des solutions pour certains problèmes de martingales. Zbl 0346.60032Jacod, Jean; Yor, Marc 29 1977 Sur la variation quadratique des temps locaux de certaines semimartingales. Zbl 0476.60046Bouleau, Nicolas; Yor, Marc 28 1981 Aspects of Brownian motion. Zbl 1162.60022Mansuy, Roger; Yor, Marc 27 2008 Infinitely divisible laws associated with hyperbolic functions. Zbl 1039.11054Pitman, Jim; Yor, Marc 27 2003 On certain Markov processes attached to exponential functionals of Brownian motion; application to Asian options. Zbl 0979.60073Donati-Martin, Catherine; Ghomrasni, Raouf; Yor, Marc 27 2001 Exponential functionals of Brownian motion and disordered systems. Zbl 0929.60063Comtet, Alain; Monthus, Cécile; Yor, Marc 26 1998 Asymptotic laws for compositions derived from transformed subordinators. Zbl 1142.60327Gnedin, Alexander; Pitman, Jim; Yor, Marc 25 2006 A representation for non-colliding random walks. Zbl 1037.15019O’Connell, Neil; Yor, Marc 25 2002 Exponential functionals of Lévy processes. Zbl 0979.60038Carmona, Philippe; Petit, Frédérique; Yor, Marc 25 2001 (Semi-) martingale inequalities and local times. Zbl 0451.60050Barlow, M. T.; Yor, M. 25 1981 Some penalisations of the Wiener measure. Zbl 1160.60315Roynette, B.; Vallois, P.; Yor, M. 23 2006 On quadratic functionals of the Brownian sheet and related processes. Zbl 1090.60020Deheuvels, Paul; Peccati, Giovanni; Yor, Marc 23 2006 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 23 2004 Decomposition at the maximum for excursions and bridges of one-dimensional diffusions. Zbl 0877.60053Pitman, Jim; Yor, Marc 22 1996 Fubini’s theorem for double Wiener integrals and the variance of the Brownian path. Zbl 0738.60074Donati-Martin, C.; Yor, M. 22 1991 Existence et unicité de diffusions à valeurs dans un espace de Hilbert. Zbl 0281.60094Yor, M. 22 1974 Doob’s maximal identity, multiplicative decompositions and enlargements of filtrations. Zbl 1101.60059Nikeghbali, Ashkan; Yor, Marc 21 2006 Hitting, occupation and inverse local times of one-dimensional diffusions: Martingale and excursion approaches. Zbl 1024.60032Pitman, Jim; Yor, Marc 21 2003 On certain exponential functionals of the real Bownian motion. 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 20 2006 A definition and some characteristic properties of pseudo-stopping times. Zbl 1083.60035Nikeghbali, Ashkan; Yor, Marc 19 2005 An analogue of Pitman’s \(2M-X\) theorem for exponential Wiener functionals. I: A time-inversion approach. Zbl 0963.60076Matsumoto, Hiroyuki; Yor, Marc 19 2000 Renormalisation et convergence en loi pour les temps locaux d’intersection du mouvement brownien dans \({\mathbb{R}}^ 3\). Zbl 0569.60075Yor, M. 19 1985 Les inégalités des sous-martingales, comme consequences de la rélation de domination. Zbl 0437.60038Yor, Marc 19 1979 The characteristic polynomial of a random unitary matrix: a probabilistic approach. Zbl 1155.15025Bourgade, P.; Hughes, C. P.; Nikeghbali, A.; Yor, M. 18 2008 Some new examples of Markov processes which enjoy the time-inversion property. Zbl 1087.60058Gallardo, Léonard; Yor, Marc 18 2005 On the exponential functionals of certain Lévy processes. Zbl 0830.60072Carmona, P.; Petit, F.; Yor, M. 18 1994 On the excursion theory for linear diffusions. Zbl 1160.60024Salminen, Paavo; Vallois, Pierre; Yor, Marc 17 2007 Ito’s integrated formula for strict local martingales. Zbl 1133.60025Madan, Dilip B.; Yor, Marc 17 2006 Some martingales associated to reflected Lévy processes. Zbl 1079.60048Nguyen-Ngoc, Laurent; Yor, Marc 17 2005 Exponential functionals and principal values related to Brownian motion. A collection of research papers. Zbl 0889.00015Yor, Marc (ed.) 17 1997 Further asymptotic laws of planar Brownian motion. Zbl 0686.60085Pitman, Jim; Yor, Marc 17 1989 On D. Williams’ ”pinching method” and some applications. Zbl 0518.60088Messulam, P.; Yor, M. 17 1982 Harnesses, Lévy bridges and Monsieur Jourdain. Zbl 1070.60041Mansuy, Roger; Yor, Marc 16 2005 Self-similar processes with independent increments associated with Lévy and Bessel processes. Zbl 1059.60052Jeanblanc, M.; Pitman, Jim; Yor, Marc 16 2002 The Brownian burglar: Conditioning Brownian motion by its local time process. Zbl 0924.60072Warren, J.; Yor, M. 16 1998 Option prices as probabilities. A new look at generalized Black-Scholes formulae. Zbl 1188.91004Profeta, Christophe; Roynette, Bernard; Yor, Marc 15 2010 Penalising Brownian paths. Dedicated to Frank Knight (1933-2007). Zbl 1190.60002Roynette, Bernard; Yor, Marc 15 2009 On probability characteristics of “downfalls” in a standard Brownian motion. Zbl 0959.60073Douady, R.; Shiryaev, A. N.; Yor, M. 15 1999 On a theorem of Tsirelson with respect to Brownian and non-Brownian filtrations. Zbl 0914.60064Barlow, M. T.; Émery, M.; Knight, F. B.; Song, S.; Yor, M. 15 1998 Inégalité de Hardy, semimartingales, et faux-amis. Zbl 0419.60049Jeulin, T.; Yor, M. 15 1979 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 Limiting laws assiciated with Brownian motion perturbed by normalized exponential weights, I. Zbl 1121.60027Roynette, Bernard; Vallois, Pierre; Yor, Marc 14 2006 Poissonian exponential functionals, \(q\)-series, \(q\)-integrals, and the moment problem for log-normal distributions. Zbl 1056.60046Bertoin, Jean; Biane, Philippe; Yor, Marc 14 2004 Large deviations for squares of Bessel and Ornstein-Uhlenbeck processes. Zbl 1055.60017Donati-Martin, C.; Rouault, A.; Yor, M.; Zani, M. 14 2004 A clarification note about hitting times densities for Ornstein-Uhlenbeck processes. Zbl 1064.60026Göing-Jaeschke, Anja; Yor, Marc 14 2003 On peacocks and lyrebirds: Australian options, Brownian bridges, and the average of submartingales. Zbl 1390.91299Ewald, Christian-oliver; Yor, Marc 1 2018 Unifying the Dynkin and Lebesgue-Stieltjes formulae. Zbl 1400.60059Kella, Offer; Yor, Marc 1 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 5 2015 Around Tsirelson’s equation, or: the evolution process may not explain everything. Zbl 1328.60170Yano, Kouji; Yor, Marc 4 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 1 2015 Random scaling and sampling of Brownian motion. Zbl 1335.60157Rosenbaum, Mathieu; Yor, Marc 1 2015 A Gaussian martingale which is the sum of two independent Gaussian non-semimartingales. Zbl 1329.60099Yor, Marc 1 2015 Two price economies in continuous time. Zbl 1298.91086Eberlein, Ernst; Madan, Dilip; Pistorius, Martijn; Schoutens, Wim; Yor, Marc 12 2014 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 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 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 Comparing Brownian stochastic integrals for the convex order. Zbl 1322.60079Hirsch, Francis; Yor, Marc 1 2014 Local times for functions with finite variation: two versions of Stieltjes change-of-variables formula. Zbl 1295.26011Bertoin, Jean; 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 8 2013 On the Mellin transforms of the perpetuity and the remainder variables associated to a subordinator. Zbl 1287.60096Hirsch, Francis; Yor, Marc 7 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 Integrability properties and limit theorems for the exit time from a cone of planar Brownian motion. Zbl 1294.60103Vakeroudis, Stavros; 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 5 2012 Some infinite divisibility properties of the reciprocal of planar Brownian motion exit time from a cone. Zbl 1259.60097Vakeroudis, Stavros; Yor, Marc 3 2012 Stochastic processes with proportional increments and the last-arrival problem. Zbl 1255.60166Bruss, F. Thomas; 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 A scaling proof for Walsh’s Brownian motion extended arc-sine law. Zbl 1323.60115Vakeroudis, Stavros; Yor, Marc 1 2012 Moments of Wiener integrals for subordinators. Zbl 1329.60165Madan, Dilip; Yor, Marc 1 2012 On temporally completely monotone functions for Markov processes. Zbl 1245.60071Hirsch, Francis; Yor, Marc 1 2012 Peacocks and associated martingales, with explicit constructions. Zbl 1227.60001Hirsch, Francis; Profeta, Christophe; Roynette, Bernard; Yor, Marc 34 2011 The mean first rotation time of a planar polymer. Zbl 1221.82159Vakeroudis, S.; Yor, M.; Holcman, D. 10 2011 On hitting times of affine boundaries by reflecting Brownian motion and Bessel processes. Zbl 1274.60251Salminen, Paavo; Yor, Marc 5 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 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 A sequence of Albin type continuous martingales with Brownian marginals and scaling. Zbl 1216.60039Baker, David; Donati-Martin, Catherine; 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 Looking for martingales associated to a self-decomposable law. Zbl 1225.60131Hirsch, Francis; Yor, Marc 4 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 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 new formula for some linear stochastic equations with applications. Zbl 1196.60122Kella, Offer; Yor, Marc 1 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 198 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 A global view of Brownian penalisations. Zbl 1180.60004Najnudel, J.; Roynette, B.; Yor, M. 12 2009 Penalising symmetric stable Lévy paths. Zbl 1180.60008Yano, Kouji; Yano, Yuko; Yor, Marc 10 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 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 5 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 The Barnes G function and its relations with sums and products of generalized gamma convolution variables. Zbl 1189.60073Nikeghbali, Ashkan; Yor, Marc 5 2009 Penalisations of multidimensional Brownian motion. VI. Zbl 1189.60069Roynette, Bernard; Vallois, Pierre; Yor, Marc 4 2009 Fractional intertwinings between two Markov semigroups. Zbl 1175.26010Hirsch, F.; Yor, M. 4 2009 Brownian penalisations related to excursion lengths. VII. Zbl 1181.60046Roynette, B.; Vallois, P.; Yor, M. 3 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. 1 2009 Generalized gamma convolutions, Dirichlet means, Thorin measures, with explicit examples. Zbl 1189.60035James, Lancelot F.; Roynette, Bernard; Yor, Marc 31 2008 Aspects of Brownian motion. Zbl 1162.60022Mansuy, Roger; Yor, Marc 27 2008 The characteristic polynomial of a random unitary matrix: a probabilistic approach. Zbl 1155.15025Bourgade, P.; Hughes, C. P.; Nikeghbali, A.; Yor, M. 18 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 9 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 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 Harmonic and stochastic analysis of Dunkl processes. Zbl 1205.60005Graczyk, Piotr (ed.); Rösler, Margit (ed.); Yor, Marc (ed.) 6 2008 An arithmetic model for the total disorder process. Zbl 1144.60020Hughes, C. P.; Nikeghbali, A.; Yor, M. 6 2008 Quasi-invariance properties of a class of subordinators. Zbl 1180.60044von Renesse, Max-K.; Yor, Marc; Zambotti, Lorenzo 5 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 Renewal series and square-root boundaries for Bessel processes. Zbl 1190.60031Enriquez, Nathanael; Sabot, Christophe; Yor, Marc 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 53 2007 On the excursion theory for linear diffusions. Zbl 1160.60024Salminen, Paavo; Vallois, Pierre; Yor, Marc 17 2007 Euler’s formulae for \(\zeta(2n)\) and products of Cauchy variables. Zbl 1129.60088Bourgade, Paul; Fujita, Takahiko; Yor, Marc 7 2007 Tanaka formula for symmetric Lévy processes. Zbl 1129.60043Salminen, Paavo; Yor, Marc 7 2007 Itô’s excursion theory and its applications. Zbl 1156.60066Pitman, Jim; Yor, Marc 6 2007 Some remarkable properties of gamma processes. Zbl 1156.60030Yor, Marc 6 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 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 Further examples of explicit Krein representations of certain subordinators. Zbl 1129.60042Donati-Martin, Catherine; Yor, Marc 4 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 Correlation and the pricing of risks. Zbl 1233.91320Atlan, Marc; Geman, Hélyette; Madan, Dilip B.; Yor, Marc 3 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 Wiener integrals for centered powers of Bessel processes. I. Zbl 1123.60035Funaki, T.; Hariya, Y.; Yor, M. 2 2007 Probing option prices for information. Zbl 1157.60067Geman, Hélyette; Madan, Dilip B.; Yor, Marc 2 2007 A note about Selberg’s integrals in relation with the beta-gamma algebra. Zbl 1160.33002Yor, Marc 1 2007 Some aspects of the probabilistic work. Zbl 1369.60003Chaumont, Loïc; Mazliak, Laurent; Yor, Marc 1 2007 On some Fourier aspects of the construction of certain Wiener integrals. Zbl 1113.60055Funaki, T.; Hariya, Y.; Hirsch, F.; Yor, M. 1 2007 Random times and enlargements of filtrations in a Brownian setting. Zbl 1103.60003Mansuy, Roger; Yor, Marc 50 2006 Asymptotic laws for compositions derived from transformed subordinators. Zbl 1142.60327Gnedin, Alexander; Pitman, Jim; Yor, Marc 25 2006 Some penalisations of the Wiener measure. Zbl 1160.60315Roynette, B.; Vallois, P.; Yor, M. 23 2006 On quadratic functionals of the Brownian sheet and related processes. Zbl 1090.60020Deheuvels, Paul; Peccati, Giovanni; Yor, Marc 23 2006 ...and 302 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 4,578 Authors 122 Yor, Marc 46 Madan, Dilip B. 37 Pitman, Jim William 36 Jeanblanc, Monique 28 Vallois, Pierre 25 Le Gall, Jean-François 23 Ouknine, Youssef 23 Shi, Zhan 22 Nualart, David 22 Patie, Pierre 22 Russo, Francesco 21 Roynette, Bernard 20 Albeverio, Sergio A. 20 Bertoin, Jean 20 Imkeller, Peter 20 Kyprianou, Andreas E. 20 Nikeghbali, Ashkan 19 Hobson, David G. 19 Khoshnevisan, Davar 19 Röckner, Michael 19 Yano, Kouji 19 Zambotti, Lorenzo 18 Pardo, Juan Carlos 18 Peccati, Giovanni 18 Schoutens, Wim 18 Yan, Litan 17 Hairer, Martin 17 Iksanov, Aleksander M. 16 Barczy, Mátyás 16 O’Connell, Neil 16 Platen, Eckhard 16 Protter, Philip Elliott 16 Rutkowski, Marek 15 Ankirchner, Stefan 15 Carr, Peter P. 15 Corwin, Ivan 15 Dalang, Robert C. 15 Favaro, Stefano 15 Gapeev, Pavel V. 15 Janson, Svante 15 Mijatović, Aleksandar 15 Najnudel, Joseph 15 Palmowski, Zbigniew 15 Peskir, Goran 15 Prünster, Igor 15 Simon, Thomas 15 Touzi, Nizar 15 Werner, Wendelin 15 Wesołowski, Jacek 15 Zhang, Xicheng 14 El Karoui, Nicole 14 Ferrari, Giorgio 14 Flandoli, Franco 14 Gobet, Emmanuel 14 Kardaras, Constantinos 14 Matsumoto, Hiroyuki 14 Obloj, Jan K. 14 Pap, Gyula 14 Pardoux, Etienne 14 Pistorius, Martijn R. 14 Sheffield, Scott 13 Engelbert, Hans Jürgen 13 Hamadene, Saïd 13 James, Lancelot F. 13 Karatzas, Ioannis 13 Linetsky, Vadim 13 Pal, Soumik 13 Privault, Nicolas 13 Schachermayer, Walter 13 Winkel, Matthias 13 Zhan, Dapeng 12 Borodin, Alexei 12 Cui, Zhenyu 12 Döring, Leif 12 Eberlein, Ernst W. 12 Fontana, Claudio 12 Gnedin, Alexander V. 12 Hu, Yueyun 12 Huillet, Thierry E. 12 Katori, Makoto 12 Lijoi, Antonio 12 Siu, Tak Kuen 12 Wang, Guojing 12 Wu, Rong 12 Zhou, Xiaowen 11 Bass, Richard F. 11 Burdzy, Krzysztof 11 Chaumont, Loïc 11 Filipović, Damir 11 Geman, Hélyette 11 Goovaerts, Marc J. 11 Haas, Bénédicte 11 Jourdain, Benjamin 11 Osękowski, Adam 11 Ren, Jiagang 11 Rivero, Víctor Manuel 11 Rosen, Jay S. 11 Shkolnikov, Mykhaylo 11 Song, Shiqi 11 Wiśniewolski, Maciej ...and 4,478 more Authors all top 5 Cited in 431 Serials 477 Stochastic Processes and their Applications 247 The Annals of Probability 179 Probability Theory and Related Fields 169 Statistics & Probability Letters 164 The Annals of Applied Probability 124 Journal of Theoretical Probability 105 International Journal of Theoretical and Applied Finance 104 Finance and Stochastics 99 Journal of Applied Probability 98 Bernoulli 95 Annales de l’Institut Henri Poincaré. 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Theory and Applications 8 Journal of Mathematical Biology 8 Theoretical Population Biology 8 Random Structures & Algorithms 8 Random Operators and Stochastic Equations 8 Brazilian Journal of Probability and Statistics ...and 331 more Serials all top 5 Cited in 57 Fields 3,960 Probability theory and stochastic processes (60-XX) 1,407 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 641 Statistics (62-XX) 362 Partial differential equations (35-XX) 276 Statistical mechanics, structure of matter (82-XX) 235 Numerical analysis (65-XX) 214 Systems theory; control (93-XX) 117 Biology and other natural sciences (92-XX) 110 Global analysis, analysis on manifolds (58-XX) 99 Calculus of variations and optimal control; optimization (49-XX) 93 Ordinary differential equations (34-XX) 92 Operator theory (47-XX) 90 Combinatorics (05-XX) 82 Dynamical systems and ergodic theory (37-XX) 79 Operations research, mathematical programming (90-XX) 64 Special functions (33-XX) 62 Measure and integration (28-XX) 62 Potential theory (31-XX) 62 Functional analysis (46-XX) 57 Quantum theory (81-XX) 55 Number theory (11-XX) 52 Linear and multilinear algebra; matrix theory (15-XX) 49 Integral transforms, operational calculus (44-XX) 37 Real functions (26-XX) 37 Fluid mechanics (76-XX) 30 Harmonic analysis on Euclidean spaces (42-XX) 30 Differential geometry (53-XX) 28 Computer science (68-XX) 27 Functions of a complex variable (30-XX) 27 Integral equations (45-XX) 25 Topological groups, Lie groups (22-XX) 19 Approximations and expansions (41-XX) 19 Abstract harmonic analysis (43-XX) 14 Information and communication theory, circuits (94-XX) 12 History and biography (01-XX) 10 Several complex variables and analytic spaces (32-XX) 9 Convex and discrete geometry (52-XX) 8 Group theory and generalizations (20-XX) 8 Geophysics (86-XX) 7 Nonassociative rings and algebras (17-XX) 6 Mathematical logic and foundations (03-XX) 6 Manifolds and cell complexes (57-XX) 6 Mechanics of particles and systems (70-XX) 5 Sequences, series, summability (40-XX) 5 Mechanics of deformable solids (74-XX) 4 General and overarching topics; collections (00-XX) 4 Order, lattices, ordered algebraic structures (06-XX) 4 Difference and functional equations (39-XX) 3 Algebraic geometry (14-XX) 3 General topology (54-XX) 2 Classical thermodynamics, heat transfer (80-XX) 2 Relativity and gravitational theory (83-XX) 1 \(K\)-theory (19-XX) 1 Geometry (51-XX) 1 Algebraic topology (55-XX) 1 Astronomy and astrophysics (85-XX) 1 Mathematics education (97-XX) Citations by Year Wikidata Timeline The data are displayed as stored in Wikidata under a Creative Commons CC0 License. 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