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Yor, Marc

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Author ID: yor.marc Recent zbMATH articles by "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

Publications by Year

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 0917.60006
Revuz, Daniel; Yor, Marc
1999
Continuous martingales and Brownian motion. Zbl 0731.60002
Revuz, Daniel; Yor, Marc
544
1991
Continuous martingales and Brownian motion. 3rd ed., 3rd. corrected printing. Zbl 1087.60040
Revuz, Daniel; Yor, Marc
219
2005
Stochastic volatility for Lévy processes. Zbl 1092.91022
Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc
212
2003
Continuous martingales and Brownian motion. 2nd ed. Zbl 0804.60001
Revuz, Daniel; Yor, Marc
212
1994
Mathematical methods for financial markets. Zbl 1205.91003
Jeanblanc, Monique; Yor, Marc; Chesney, Marc
198
2009
The two-parameter Poisson-Dirichlet distribution derived from a stable subordinator. Zbl 0880.60076
Pitman, Jim; Yor, Marc
192
1997
Bessel processes, Asian options, and perpetuities. Zbl 0884.90029
Geman, Hélyette; Yor, Marc
144
1993
A decomposition of Bessel bridges. Zbl 0484.60062
Pitman, Jim; Yor, Marc
128
1982
On some exponential functionals of Brownian motion. Zbl 0765.60084
Yor, Marc
127
1992
Exponential functionals of Brownian motion and related processes. Zbl 0999.60004
Yor, Marc
93
2001
A survey and some generalizations of Bessel processes. Zbl 1038.60079
Göing-Jaeschke, Anja; Yor, Marc
84
2003
Semi-martingale inequalities via the Garsia-Rodemich-Rumsey lemma, and applications to local times. Zbl 0505.60054
Barlow, M. T.; Yor, M.
81
1982
Size-biased sampling of Poisson point processes and excursions. Zbl 0741.60037
Perman, Mihael; Pitman, Jim; Yor, Marc
78
1992
Brownian excursions and Parisian barrier options. Zbl 0882.60042
Chesney, Marc; Jeanblanc-Picqué, Monique; Yor, Marc
77
1997
Changes of filtrations and of probability measures. Zbl 0415.60048
Bremaud, Pierre; Yor, Marc
75
1978
Exponential functionals of Lévy processes. Zbl 1189.60096
Bertoin, Jean; Yor, Marc
71
2005
On models of default risk. Zbl 1042.91038
Elliott, R. J.; Jeanblanc, M.; Yor, M.
71
2000
Some aspects of Brownian motion, Part I: Some special functionals. Zbl 0779.60070
Yor, Marc
71
1992
Brownian analogues of Burke’s theorem. Zbl 1058.60078
O’Connell, Neil; Yor, Marc
69
2001
On the distribution and asymptotic results for exponential functionals of Lévy processes. Zbl 0905.60056
Carmona, Philippe; Petit, Frédérique; Yor, Marc
69
1997
Probability laws related to the Jacobi theta and Riemann zeta functions, and Brownian excursions. Zbl 1040.11061
Biane, Philippe; Pitman, Jim; Yor, Marc
68
2001
Exponential functionals of Brownian motion. I: Probability laws at fixed time. Zbl 1189.60150
Matsumoto, Hiroyuki; Yor, Marc
62
2005
Calcul stochastique dépendant d’un paramètre. Zbl 0388.60056
Stricker, C.; Yor, M.
59
1978
Bessel processes and infinitely divisible laws. Zbl 0469.60076
Pitman, Jim; Yor, Marc
57
1981
Pricing and hedging double-barrier options: A probabilistic approach. Zbl 0915.90016
Geman, Hélyette; Yor, Marc
54
1996
Self-decomposability and option pricing. Zbl 1278.91157
Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc
53
2007
Time changes for Lévy processes. Zbl 0983.60082
Geman, Hélyette; Madan, Dilip B.; Yor, Marc
53
2001
Valeurs principales associées aux temps locaux Browniens. (Principal values associated to Brownian local times). Zbl 0619.60072
Biane, Ph.; Yor, M.
53
1987
Random times and enlargements of filtrations in a Brownian setting. Zbl 1103.60003
Mansuy, Roger; Yor, Marc
50
2006
Equivalent and absolutely continuous measure changes for jump-diffusion processes. Zbl 1082.60034
Cheridito, Patrick; Filipović, Damir; Yor, Marc
50
2005
Markovian bridges: Construction, Palm interpretation, and splicing. Zbl 0844.60054
Fitzsimmons, Pat; Pitman, Jim; Yor, Marc
50
1992
Some aspects of Brownian motion. Part II: Some recent martingale problems. Zbl 0880.60082
Yor, Marc
49
1997
Loi de l’indice du lacet Brownien, et distribution de Hartman-Watson. Zbl 0436.60057
Yor, Marc
48
1980
Making Markov martingales meet marginals: With explicit constructions. Zbl 1009.60037
Madan, Dilip B.; Yor, Marc
43
2002
Pricing options on realized variance. Zbl 1096.91022
Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc
42
2005
Grossissement d’une filtration et semi-martingales: formules explicites. Zbl 0411.60045
Jeulin, T.; Yor, M.
42
1978
Asymptotic laws of planar Brownian motion. Zbl 0607.60070
Pitman, Jim; Yor, Marc
40
1986
Exponential functionals of Brownian motion. II: Some related diffusion processes. Zbl 1189.91232
Matsumoto, Hiroyuki; Yor, Marc
36
2005
Grossissements de filtrations: exemples et applications. Séminaire de Calcul Stochastique 1982/83, Université Paris VI. Zbl 0547.00034
Jeulin, Th. (ed.); Yor, M. (ed.)
36
1985
Une solution simple au problème de Skorokhod. Zbl 0414.60055
Azema, Jacques; Yor, Marc
36
1979
Exercises in probability. A guided tour from measure theory to random processes, via conditioning. Zbl 1065.60001
Chaumont, L.; Yor, M.
35
2003
On Walsh’s Brownian motions. Zbl 0747.60072
Barlow, Martin; Pitman, Jim; Yor, Marc
35
1989
Peacocks and associated martingales, with explicit constructions. Zbl 1227.60001
Hirsch, Francis; Profeta, Christophe; Roynette, Bernard; Yor, Marc
34
2011
The entrance laws of self-similar Markov processes and exponential functionals of Lévy processes. Zbl 1004.60046
Bertoin, Jean; Yor, Marc
34
2002
On subordinators, self-similar Markov processes and some factorizations of the exponential variable. Zbl 1024.60030
Bertoin, Jean; Yor, Marc
34
2001
Beta-gamma random variables and intertwining relations between certain Markov processes. Zbl 0919.60074
Carmona, Philippe; Petit, Frédérique; Yor, Marc
34
1998
A multi- dimensional extension of the arcsine law. Zbl 0738.60072
Barlow, Martin; Pitman, Jim; Yor, Marc
34
1989
On the entire moments of self-similar Markov processes and exponential functionals of Lévy processes. Zbl 1031.60038
Bertoin, Jean; Yor, Marc
32
2002
An infinite-dimensional analogue of the Lebesgue measure and distinguished properties of the gamma process. Zbl 0990.60053
Tsilevich, Natalia; Vershik, Anatoly; Yor, Marc
32
2001
The importance of strictly local martingales; applications to radial Ornstein-Uhlenbeck processes. Zbl 0960.60046
Elworthy, K. D.; Li, Xue-Mei; Yor, M.
32
1999
Generalized gamma convolutions, Dirichlet means, Thorin measures, with explicit examples. Zbl 1189.60035
James, 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 0983.60075
Matsumoto, Hiroyuki; Yor, Marc
31
2001
Arcsine laws and interval partitions derived from a stable subordinator. Zbl 0769.60014
Pitman, Jim; Yor, Marc
31
1992
Étude des solutions extremales et représentation intégrale des solutions pour certains problèmes de martingales. Zbl 0346.60032
Jacod, Jean; Yor, Marc
29
1977
Sur la variation quadratique des temps locaux de certaines semimartingales. Zbl 0476.60046
Bouleau, Nicolas; Yor, Marc
28
1981
Aspects of Brownian motion. Zbl 1162.60022
Mansuy, Roger; Yor, Marc
27
2008
Infinitely divisible laws associated with hyperbolic functions. Zbl 1039.11054
Pitman, Jim; Yor, Marc
27
2003
On certain Markov processes attached to exponential functionals of Brownian motion; application to Asian options. Zbl 0979.60073
Donati-Martin, Catherine; Ghomrasni, Raouf; Yor, Marc
27
2001
Exponential functionals of Brownian motion and disordered systems. Zbl 0929.60063
Comtet, Alain; Monthus, Cécile; Yor, Marc
26
1998
Asymptotic laws for compositions derived from transformed subordinators. Zbl 1142.60327
Gnedin, Alexander; Pitman, Jim; Yor, Marc
25
2006
A representation for non-colliding random walks. Zbl 1037.15019
O’Connell, Neil; Yor, Marc
25
2002
Exponential functionals of Lévy processes. Zbl 0979.60038
Carmona, Philippe; Petit, Frédérique; Yor, Marc
25
2001
(Semi-) martingale inequalities and local times. Zbl 0451.60050
Barlow, M. T.; Yor, M.
25
1981
Some penalisations of the Wiener measure. Zbl 1160.60315
Roynette, B.; Vallois, P.; Yor, M.
23
2006
On quadratic functionals of the Brownian sheet and related processes. Zbl 1090.60020
Deheuvels, Paul; Peccati, Giovanni; Yor, Marc
23
2006
Some properties of the Wishart processes and a matrix extension of the Hartman-Watson laws. Zbl 1076.60067
Donati-Martin, Catherine; Doumerc, Yan; Matsumoto, Hiroyuki; Yor, Marc
23
2004
Decomposition at the maximum for excursions and bridges of one-dimensional diffusions. Zbl 0877.60053
Pitman, Jim; Yor, Marc
22
1996
Fubini’s theorem for double Wiener integrals and the variance of the Brownian path. Zbl 0738.60074
Donati-Martin, C.; Yor, M.
22
1991
Existence et unicité de diffusions à valeurs dans un espace de Hilbert. Zbl 0281.60094
Yor, M.
22
1974
Doob’s maximal identity, multiplicative decompositions and enlargements of filtrations. Zbl 1101.60059
Nikeghbali, Ashkan; Yor, Marc
21
2006
Hitting, occupation and inverse local times of one-dimensional diffusions: Martingale and excursion approaches. Zbl 1024.60032
Pitman, Jim; Yor, Marc
21
2003
On certain exponential functionals of the real Bownian motion. Zbl 0758.60085
Yor, Marc
21
1992
Limiting laws associated with Brownian motion perturbed by its maximum, minimum and local time, II. Zbl 1121.60004
Roynette, Bernard; Vallois, Pierre; Yor, Marc
20
2006
A definition and some characteristic properties of pseudo-stopping times. Zbl 1083.60035
Nikeghbali, Ashkan; Yor, Marc
19
2005
An analogue of Pitman’s \(2M-X\) theorem for exponential Wiener functionals. I: A time-inversion approach. Zbl 0963.60076
Matsumoto, Hiroyuki; Yor, Marc
19
2000
Renormalisation et convergence en loi pour les temps locaux d’intersection du mouvement brownien dans \({\mathbb{R}}^ 3\). Zbl 0569.60075
Yor, M.
19
1985
Les inégalités des sous-martingales, comme consequences de la rélation de domination. Zbl 0437.60038
Yor, Marc
19
1979
The characteristic polynomial of a random unitary matrix: a probabilistic approach. Zbl 1155.15025
Bourgade, P.; Hughes, C. P.; Nikeghbali, A.; Yor, M.
18
2008
Some new examples of Markov processes which enjoy the time-inversion property. Zbl 1087.60058
Gallardo, Léonard; Yor, Marc
18
2005
On the exponential functionals of certain Lévy processes. Zbl 0830.60072
Carmona, P.; Petit, F.; Yor, M.
18
1994
On the excursion theory for linear diffusions. Zbl 1160.60024
Salminen, Paavo; Vallois, Pierre; Yor, Marc
17
2007
Ito’s integrated formula for strict local martingales. Zbl 1133.60025
Madan, Dilip B.; Yor, Marc
17
2006
Some martingales associated to reflected Lévy processes. Zbl 1079.60048
Nguyen-Ngoc, Laurent; Yor, Marc
17
2005
Exponential functionals and principal values related to Brownian motion. A collection of research papers. Zbl 0889.00015
Yor, Marc (ed.)
17
1997
Further asymptotic laws of planar Brownian motion. Zbl 0686.60085
Pitman, Jim; Yor, Marc
17
1989
On D. Williams’ ”pinching method” and some applications. Zbl 0518.60088
Messulam, P.; Yor, M.
17
1982
Harnesses, Lévy bridges and Monsieur Jourdain. Zbl 1070.60041
Mansuy, Roger; Yor, Marc
16
2005
Self-similar processes with independent increments associated with Lévy and Bessel processes. Zbl 1059.60052
Jeanblanc, M.; Pitman, Jim; Yor, Marc
16
2002
The Brownian burglar: Conditioning Brownian motion by its local time process. Zbl 0924.60072
Warren, J.; Yor, M.
16
1998
Option prices as probabilities. A new look at generalized Black-Scholes formulae. Zbl 1188.91004
Profeta, Christophe; Roynette, Bernard; Yor, Marc
15
2010
Penalising Brownian paths. Dedicated to Frank Knight (1933-2007). Zbl 1190.60002
Roynette, Bernard; Yor, Marc
15
2009
On probability characteristics of “downfalls” in a standard Brownian motion. Zbl 0959.60073
Douady, R.; Shiryaev, A. N.; Yor, M.
15
1999
On a theorem of Tsirelson with respect to Brownian and non-Brownian filtrations. Zbl 0914.60064
Barlow, M. T.; Émery, M.; Knight, F. B.; Song, S.; Yor, M.
15
1998
Inégalité de Hardy, semimartingales, et faux-amis. Zbl 0419.60049
Jeulin, T.; Yor, M.
15
1979
On the laws of first hitting times of points for one-dimensional symmetric stable Lévy processes. Zbl 1201.60043
Yano, Kouji; Yano, Yuko; Yor, Marc
14
2009
Limiting laws assiciated with Brownian motion perturbed by normalized exponential weights, I. Zbl 1121.60027
Roynette, Bernard; Vallois, Pierre; Yor, Marc
14
2006
Poissonian exponential functionals, \(q\)-series, \(q\)-integrals, and the moment problem for log-normal distributions. Zbl 1056.60046
Bertoin, Jean; Biane, Philippe; Yor, Marc
14
2004
Large deviations for squares of Bessel and Ornstein-Uhlenbeck processes. Zbl 1055.60017
Donati-Martin, C.; Rouault, A.; Yor, M.; Zani, M.
14
2004
A clarification note about hitting times densities for Ornstein-Uhlenbeck processes. Zbl 1064.60026
Göing-Jaeschke, Anja; Yor, Marc
14
2003
On peacocks and lyrebirds: Australian options, Brownian bridges, and the average of submartingales. Zbl 1390.91299
Ewald, Christian-oliver; Yor, Marc
1
2018
Unifying the Dynkin and Lebesgue-Stieltjes formulae. Zbl 1400.60059
Kella, Offer; Yor, Marc
1
2017
On valuing stochastic perpetuities using new long horizon stock price models distinguishing booms, busts, and balanced markets. Zbl 1348.91272
Madan, Dilip B.; Yor, Marc
3
2016
Kellerer’s theorem revisited. Zbl 1368.60045
Hirsch, Francis; Roynette, Bernard; Yor, Marc
5
2015
Around Tsirelson’s equation, or: the evolution process may not explain everything. Zbl 1328.60170
Yano, Kouji; Yor, Marc
4
2015
Integral representations of certain measures in the one-dimensional diffusions excursion theory. Zbl 1334.60165
Salminen, Paavo; Yen, Ju-Yi; Yor, Marc
2
2015
Some explicit formulas for the Brownian bridge, Brownian meander and Bessel process under uniform sampling. Zbl 1333.60181
Rosenbaum, Mathieu; Yor, Marc
2
2015
On increasing risk, inequality and poverty measures: peacocks, lyrebirds and exotic options. Zbl 1401.91135
Ewald, Christian-Oliver; Yor, Marc
1
2015
Random scaling and sampling of Brownian motion. Zbl 1335.60157
Rosenbaum, Mathieu; Yor, Marc
1
2015
A Gaussian martingale which is the sum of two independent Gaussian non-semimartingales. Zbl 1329.60099
Yor, Marc
1
2015
Two price economies in continuous time. Zbl 1298.91086
Eberlein, 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 1307.91086
Eberlein, Ernst; Madan, Dilip B.; Pistorius, Martijn; Yor, Marc
12
2014
How to make Dupire’s local volatility work with jumps. Zbl 1402.91776
Friz, Peter K.; Gerhold, Stefan; Yor, Marc
10
2014
On the expectation of normalized Brownian functionals up to first hitting times. Zbl 1291.60164
Elie, Romuald; Rosenbaum, Mathieu; Yor, Marc
4
2014
On the law of a triplet associated with the pseudo-Brownian bridge. Zbl 1390.60298
Rosenbaum, 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 1386.91140
Fujita, Takahiko; Kawanishi, Yasuhiro; Yor, Marc
1
2014
Comparing Brownian stochastic integrals for the convex order. Zbl 1322.60079
Hirsch, Francis; Yor, Marc
1
2014
Local times for functions with finite variation: two versions of Stieltjes change-of-variables formula. Zbl 1295.26011
Bertoin, Jean; Yor, Marc
1
2014
Local times and excursion theory for Brownian motion. A tale of Wiener and Itô measures. Zbl 1364.60003
Yen, Ju-Yi; Yor, Marc
8
2013
On the Mellin transforms of the perpetuity and the remainder variables associated to a subordinator. Zbl 1287.60096
Hirsch, Francis; Yor, Marc
7
2013
Some two-dimensional extensions of Bougerol’s identity in law for the exponential functional of linear Brownian motion. Zbl 1303.60073
Bertoin, Jean; Dufresne, Daniel; Yor, Marc
4
2013
Integrability properties and limit theorems for the exit time from a cone of planar Brownian motion. Zbl 1294.60103
Vakeroudis, Stavros; Yor, Marc
4
2013
On the remarkable Lamperti representation of the inverse local time of a radial Ornstein-Uhlenbeck process. Zbl 1287.60048
Hirsch, Francis; Yor, Marc
3
2013
A simple stochastic rate model for rate equity hybrid products. Zbl 1396.91780
Eberlein, Ernst; Madan, Dilip; Pistorius, Martijn; Yor, Marc
2
2013
Retrieving information from subordination. Zbl 1284.60084
Bertoin, Jean; Yor, Marc
2
2013
Some examples of Skorokhod embeddings obtained from the Azéma-Yor algorithm. Zbl 1258.60032
Lim, Adrian P. C.; Yen, Ju-Yi; Yor, Marc
2
2013
Pure jump increasing processes and the change of variables formula. Zbl 1306.60120
Bertoin, Jean; Yor, Marc
1
2013
On an identity in law between Brownian quadratic functionals. Zbl 1290.60081
Yen, Ju-Yi; Yor, Marc
1
2013
Exercises in probability. A guided tour from measure theory to random processes via conditioning. 2nd ed. Zbl 1246.60001
Chaumont, Loïc; Yor, Marc
5
2012
Some infinite divisibility properties of the reciprocal of planar Brownian motion exit time from a cone. Zbl 1259.60097
Vakeroudis, Stavros; Yor, Marc
3
2012
Stochastic processes with proportional increments and the last-arrival problem. Zbl 1255.60166
Bruss, 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 1239.60022
Vakeroudis, S.; Yor, M.
2
2012
A scaling proof for Walsh’s Brownian motion extended arc-sine law. Zbl 1323.60115
Vakeroudis, Stavros; Yor, Marc
1
2012
Moments of Wiener integrals for subordinators. Zbl 1329.60165
Madan, Dilip; Yor, Marc
1
2012
On temporally completely monotone functions for Markov processes. Zbl 1245.60071
Hirsch, Francis; Yor, Marc
1
2012
Peacocks and associated martingales, with explicit constructions. Zbl 1227.60001
Hirsch, Francis; Profeta, Christophe; Roynette, Bernard; Yor, Marc
34
2011
The mean first rotation time of a planar polymer. Zbl 1221.82159
Vakeroudis, S.; Yor, M.; Holcman, D.
10
2011
On hitting times of affine boundaries by reflecting Brownian motion and Bessel processes. Zbl 1274.60251
Salminen, Paavo; Yor, Marc
5
2011
The S&P 500 index as a Sato process travelling at the speed of the VIX. Zbl 1239.91186
Madan, Dilip B.; Yor, Marc
5
2011
Call option prices based on Bessel processes. Zbl 1217.60071
Yen, Ju-Yi; Yor, Marc
4
2011
Constructing self-similar martingales via two Skorokhod embeddings. Zbl 1234.60047
Hirsch, 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 1233.60008
Hirsch, Francis; Roynette, Bernard; Yor, Marc
2
2011
Options on realized variance and convex orders. Zbl 1277.91164
Carr, Peter; Geman, Helyette; Madan, Dilip B.; Yor, Marc
1
2011
A sequence of Albin type continuous martingales with Brownian marginals and scaling. Zbl 1216.60039
Baker, David; Donati-Martin, Catherine; Yor, Marc
1
2011
Option prices as probabilities. A new look at generalized Black-Scholes formulae. Zbl 1188.91004
Profeta, Christophe; Roynette, Bernard; Yor, Marc
15
2010
Looking for martingales associated to a self-decomposable law. Zbl 1225.60131
Hirsch, Francis; Yor, Marc
4
2010
Penalisation of a stable Lévy process involving its one-sided supremum. Zbl 1208.60046
Yano, 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 1223.60027
Hirsch, 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 1274.60052
Hirsch, Francis; Roynette, Bernard; Yor, Marc
2
2010
A new formula for some linear stochastic equations with applications. Zbl 1196.60122
Kella, Offer; Yor, Marc
1
2010
A tribute to Professor Kiyosi Itô. Zbl 1178.01066
Yor, M.; Vares, M. E.; Mikosch, T.
1
2010
Mathematical methods for financial markets. Zbl 1205.91003
Jeanblanc, Monique; Yor, Marc; Chesney, Marc
198
2009
Penalising Brownian paths. Dedicated to Frank Knight (1933-2007). Zbl 1190.60002
Roynette, Bernard; Yor, Marc
15
2009
On the laws of first hitting times of points for one-dimensional symmetric stable Lévy processes. Zbl 1201.60043
Yano, Kouji; Yano, Yuko; Yor, Marc
14
2009
A global view of Brownian penalisations. Zbl 1180.60004
Najnudel, J.; Roynette, B.; Yor, M.
12
2009
Penalising symmetric stable Lévy paths. Zbl 1180.60008
Yano, Kouji; Yano, Yuko; Yor, Marc
10
2009
A Brownian sheet martingale with the same marginals as the arithmetic average of geometric Brownian motion. Zbl 1201.60033
Baker, David; Yor, Marc
9
2009
A construction of processes with one-dimensional martingale marginals, associated with a Lévy process, via its Lévy sheet. Zbl 1191.60040
Hirsch, 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 1203.60122
Hirsch, 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 1180.60002
Chaumont, L.; Yor, M.
5
2009
The Barnes G function and its relations with sums and products of generalized gamma convolution variables. Zbl 1189.60073
Nikeghbali, Ashkan; Yor, Marc
5
2009
Penalisations of multidimensional Brownian motion. VI. Zbl 1189.60069
Roynette, Bernard; Vallois, Pierre; Yor, Marc
4
2009
Fractional intertwinings between two Markov semigroups. Zbl 1175.26010
Hirsch, F.; Yor, M.
4
2009
Brownian penalisations related to excursion lengths. VII. Zbl 1181.60046
Roynette, B.; Vallois, P.; Yor, M.
3
2009
Put option prices as joint distribution functions in strike and maturity: the Black-Scholes case. Zbl 1183.91179
Madan, Dilip B.; Roynette, Bernard; Yor, Marc
2
2009
A family of generalized gamma convoluted variables. Zbl 1197.60012
Roynette, B.; Vallois, P.; Yor, M.
1
2009
Generalized gamma convolutions, Dirichlet means, Thorin measures, with explicit examples. Zbl 1189.60035
James, Lancelot F.; Roynette, Bernard; Yor, Marc
31
2008
Aspects of Brownian motion. Zbl 1162.60022
Mansuy, Roger; Yor, Marc
27
2008
The characteristic polynomial of a random unitary matrix: a probabilistic approach. Zbl 1155.15025
Bourgade, 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 1212.60070
Donati-Martin, Catherine; Roynette, Bernard; Vallois, Pierre; Yor, Marc
11
2008
On the time to reach maximum for a variety of constrained Brownian motions. Zbl 1195.82020
Majumdar, 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 1163.91414
Madan, 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 1164.60307
Roynette, Bernard; Vallois, Pierre; Yor, Marc
6
2008
Harmonic and stochastic analysis of Dunkl processes. Zbl 1205.60005
Graczyk, Piotr (ed.); Rösler, Margit (ed.); Yor, Marc (ed.)
6
2008
An arithmetic model for the total disorder process. Zbl 1144.60020
Hughes, C. P.; Nikeghbali, A.; Yor, M.
6
2008
Quasi-invariance properties of a class of subordinators. Zbl 1180.60044
von 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 1224.60076
Roynette, B.; Vallois, P.; Yor, M.
2
2008
Renewal series and square-root boundaries for Bessel processes. Zbl 1190.60031
Enriquez, 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 1180.60070
Roynette, B.; Yor, M.
1
2008
Self-decomposability and option pricing. Zbl 1278.91157
Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc
53
2007
On the excursion theory for linear diffusions. Zbl 1160.60024
Salminen, Paavo; Vallois, Pierre; Yor, Marc
17
2007
Euler’s formulae for \(\zeta(2n)\) and products of Cauchy variables. Zbl 1129.60088
Bourgade, Paul; Fujita, Takahiko; Yor, Marc
7
2007
Tanaka formula for symmetric Lévy processes. Zbl 1129.60043
Salminen, Paavo; Yor, Marc
7
2007
Itô’s excursion theory and its applications. Zbl 1156.60066
Pitman, Jim; Yor, Marc
6
2007
Some remarkable properties of gamma processes. Zbl 1156.60030
Yor, Marc
6
2007
Some extensions of Pitman and Ray-Knight theorems for penalized Brownian motions and their local times, IV. Zbl 1164.60355
Roynette, 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 1221.60003
Najnudel, Joseph; Roynette, Bernard; Yor, Marc
4
2007
Further examples of explicit Krein representations of certain subordinators. Zbl 1129.60042
Donati-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 1130.60051
Fujita, Takahiko; Yor, Marc
4
2007
Correlation and the pricing of risks. Zbl 1233.91320
Atlan, 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 1116.60022
Graversen, S.; Shiryaev, A. N.; Yor, M.
3
2007
Wiener integrals for centered powers of Bessel processes. I. Zbl 1123.60035
Funaki, T.; Hariya, Y.; Yor, M.
2
2007
Probing option prices for information. Zbl 1157.60067
Geman, Hélyette; Madan, Dilip B.; Yor, Marc
2
2007
A note about Selberg’s integrals in relation with the beta-gamma algebra. Zbl 1160.33002
Yor, Marc
1
2007
Some aspects of the probabilistic work. Zbl 1369.60003
Chaumont, Loïc; Mazliak, Laurent; Yor, Marc
1
2007
On some Fourier aspects of the construction of certain Wiener integrals. Zbl 1113.60055
Funaki, T.; Hariya, Y.; Hirsch, F.; Yor, M.
1
2007
Random times and enlargements of filtrations in a Brownian setting. Zbl 1103.60003
Mansuy, Roger; Yor, Marc
50
2006
Asymptotic laws for compositions derived from transformed subordinators. Zbl 1142.60327
Gnedin, Alexander; Pitman, Jim; Yor, Marc
25
2006
Some penalisations of the Wiener measure. Zbl 1160.60315
Roynette, B.; Vallois, P.; Yor, M.
23
2006
On quadratic functionals of the Brownian sheet and related processes. Zbl 1090.60020
Deheuvels, Paul; Peccati, Giovanni; Yor, Marc
23
2006
...and 302 more Documents
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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
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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. Probabilités et Statistiques
94 Quantitative Finance
92 Journal of Statistical Physics
86 Insurance Mathematics & Economics
86 Mathematical Finance
77 Journal of Mathematical Analysis and Applications
74 Stochastic Analysis and Applications
73 Journal of Functional Analysis
52 Advances in Applied Probability
51 Potential Analysis
51 Stochastics
49 Transactions of the American Mathematical Society
48 Journal of Econometrics
46 Applied Mathematical Finance
44 Communications in Mathematical Physics
38 Electronic Journal of Probability
38 SIAM Journal on Financial Mathematics
37 Comptes Rendus. Mathématique. Académie des Sciences, Paris
36 Journal of Computational and Applied Mathematics
32 Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete
31 Proceedings of the American Mathematical Society
30 Methodology and Computing in Applied Probability
29 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
29 Annals of Finance
26 Mathematics and Financial Economics
24 The Annals of Statistics
24 Bulletin des Sciences Mathématiques
23 Journal of Multivariate Analysis
23 SIAM Journal on Control and Optimization
22 Electronic Communications in Probability
21 Journal of Mathematical Physics
21 Review of Derivatives Research
20 Theory of Probability and its Applications
20 Journal of Economic Dynamics & Control
20 Stochastics and Dynamics
19 Asia-Pacific Financial Markets
18 Communications in Statistics. Theory and Methods
17 Applied Mathematics and Optimization
17 Electronic Journal of Statistics
17 Science China. Mathematics
16 Journal of Differential Equations
16 Journal of Statistical Planning and Inference
16 Journal of Mathematical Sciences (New York)
16 Probability Surveys
15 Stochastics
15 Applied Mathematics and Computation
15 ALEA. Latin American Journal of Probability and Mathematical Statistics
15 Stochastic and Partial Differential Equations. Analysis and Computations
14 Abstract and Applied Analysis
14 Econometric Theory
14 Stochastic Models
13 Queueing Systems
12 European Journal of Operational Research
12 Stochastics and Stochastics Reports
12 Statistical Inference for Stochastic Processes
12 Decisions in Economics and Finance
12 Frontiers of Mathematics in China
12 Bayesian Analysis
11 Lithuanian Mathematical Journal
11 Physica A
11 Advances in Mathematics
11 Publications of the Research Institute for Mathematical Sciences, Kyoto University
11 Acta Mathematicae Applicatae Sinica. English Series
11 Journal of Applied Mathematics and Stochastic Analysis
11 Infinite Dimensional Analysis, Quantum Probability and Related Topics
11 Annales Henri Poincaré
10 Computers & Mathematics with Applications
10 Communications on Pure and Applied Mathematics
10 Annales de l’Institut Fourier
10 Journal of Economic Theory
10 Operations Research Letters
10 Acta Applicandae Mathematicae
10 Annales de l’Institut Henri Poincaré. Nouvelle Série. Section B. Calcul des Probabilités et Statistique
10 Annales de la Faculté des Sciences de Toulouse. Mathématiques. Série VI
10 Scandinavian Actuarial Journal
9 Scandinavian Journal of Statistics
9 Annals of the Institute of Statistical Mathematics
9 Duke Mathematical Journal
9 Inventiones Mathematicae
9 Statistical Science
9 Annals of Operations Research
9 Computational Statistics and Data Analysis
9 Journal of Statistical Mechanics: Theory and Experiment
9 Statistics and Computing
9 Modern Stochastics. 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
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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)
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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)
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25 Topological groups, Lie groups (22-XX)
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14 Information and communication theory, circuits (94-XX)
12 History and biography (01-XX)
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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)
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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)

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