Edit Profile (opens in new tab) Yor, Marc Co-Author Distance Author ID: yor.marc Published as: Yor, Marc; Yor, M. External Links: MGP · Wikidata · Math-Net.Ru · GND · IdRef · theses.fr Documents Indexed: 480 Publications since 1973, including 20 Books and 11 Additional arXiv Preprints 35 Contributions as Editor · 2 Further Contributions Biographic References: 7 Publications Co-Authors: 170 Co-Authors with 417 Joint Publications 4,231 Co-Co-Authors all top 5 Co-Authors 97 single-authored 44 Pitman, Jim William 38 Azéma, Jacques 37 Roynette, Bernard 23 Donati-Martin, Catherine 21 Madan, Dilip B. 20 Vallois, Pierre 17 Émery, Michel 16 Geman, Hélyette 16 Hirsch, Francis 15 Matsumoto, Hiroyuki 15 Meyer, Paul-André 13 Bertoin, Jean 13 Jeulin, Thierry 11 Yen, Ju-Yi J. 10 Petit, Frédérique 9 Barlow, Martin T. 9 Carmona, Philippe 9 Salminen, Paavo H. 8 Biane, Philippe 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 Bruss, Franz Thomas 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 Tsilevich, Natalia V. 3 Vershik, Anatoliĭ Moiseevich 3 Yano, Yuko 3 Zani, Marguerite 2 Alili, Larbi 2 Atlan, Marc 2 Bentata, Amel 2 Bismut, Jean-Michel 2 Bourgade, Paul 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 James, Lancelot F. 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 Vares, Maria Eulalia 2 Warren, Jon 2 Weinryb, Sophie 2 Zambotti, Lorenzo 1 Auerhan, J. 1 Balazard, Michel 1 Baldi, Paolo 1 Barrieu, Pauline M. 1 Bentkus, Vidmants-Kastytis 1 Berthelot, Pierre 1 Bickel, Peter John ...and 89 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 Stochastics Monographs 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 479 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 Functions of a complex variable (30-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 Potential theory (31-XX) 1 Partial differential equations (35-XX) 1 Sequences, series, summability (40-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 417 Publications have been cited 10,027 times in 6,233 Documents Cited by ▼ Year ▼ Continuous martingales and Brownian motion. 3rd ed. Zbl 0917.60006 Revuz, Daniel; Yor, Marc 1,676 1999 Continuous martingales and Brownian motion. Zbl 0731.60002 Revuz, Daniel; Yor, Marc 618 1991 Mathematical methods for financial markets. Zbl 1205.91003 Jeanblanc, Monique; Yor, Marc; Chesney, Marc 291 2009 Stochastic volatility for Lévy processes. Zbl 1092.91022 Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc 264 2003 The two-parameter Poisson-Dirichlet distribution derived from a stable subordinator. Zbl 0880.60076 Pitman, Jim; Yor, Marc 255 1997 Continuous martingales and Brownian motion. 3rd ed., 3rd. corrected printing. Zbl 1087.60040 Revuz, Daniel; Yor, Marc 231 2005 Continuous martingales and Brownian motion. 2nd ed. Zbl 0804.60001 Revuz, Daniel; Yor, Marc 217 1994 Bessel processes, Asian options, and perpetuities. Zbl 0884.90029 Geman, Hélyette; Yor, Marc 170 1993 On some exponential functionals of Brownian motion. Zbl 0765.60084 Yor, Marc 161 1992 A decomposition of Bessel bridges. Zbl 0484.60062 Pitman, Jim; Yor, Marc 154 1982 A survey and some generalizations of Bessel processes. Zbl 1038.60079 Göing-Jaeschke, Anja; Yor, Marc 124 2003 Exponential functionals of Brownian motion and related processes. Zbl 0999.60004 Yor, Marc 119 2001 Brownian analogues of Burke’s theorem. Zbl 1058.60078 O’Connell, Neil; Yor, Marc 111 2001 Size-biased sampling of Poisson point processes and excursions. Zbl 0741.60037 Perman, Mihael; Pitman, Jim; Yor, Marc 109 1992 Semi-martingale inequalities via the Garsia-Rodemich-Rumsey lemma, and applications to local times. Zbl 0505.60054 Barlow, M. T.; Yor, M. 97 1982 Brownian excursions and Parisian barrier options. Zbl 0882.60042 Chesney, Marc; Jeanblanc-Picqué, Monique; Yor, Marc 96 1997 Changes of filtrations and of probability measures. Zbl 0415.60048 Bremaud, Pierre; Yor, Marc 96 1978 Exponential functionals of Brownian motion. I: Probability laws at fixed time. Zbl 1189.60150 Matsumoto, Hiroyuki; Yor, Marc 95 2005 Exponential functionals of Lévy processes. Zbl 1189.60096 Bertoin, Jean; Yor, Marc 91 2005 Probability laws related to the Jacobi theta and Riemann zeta functions, and Brownian excursions. Zbl 1040.11061 Biane, Philippe; Pitman, Jim; Yor, Marc 87 2001 On models of default risk. Zbl 1042.91038 Elliott, R. J.; Jeanblanc, M.; Yor, M. 85 2000 On the distribution and asymptotic results for exponential functionals of Lévy processes. Zbl 0905.60056 Carmona, Philippe; Petit, Frédérique; Yor, Marc 80 1997 Some aspects of Brownian motion, Part I: Some special functionals. Zbl 0779.60070 Yor, Marc 79 1992 Self-decomposability and option pricing. Zbl 1278.91157 Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc 74 2007 Pricing and hedging double-barrier options: A probabilistic approach. Zbl 0915.90016 Geman, Hélyette; Yor, Marc 67 1996 Markovian bridges: Construction, Palm interpretation, and splicing. Zbl 0844.60054 Fitzsimmons, Pat; Pitman, Jim; Yor, Marc 66 1992 Random times and enlargements of filtrations in a Brownian setting. Zbl 1103.60003 Mansuy, Roger; Yor, Marc 64 2006 Time changes for Lévy processes. Zbl 0983.60082 Geman, Hélyette; Madan, Dilip B.; Yor, Marc 64 2001 Bessel processes and infinitely divisible laws. Zbl 0469.60076 Pitman, Jim; Yor, Marc 63 1981 Calcul stochastique dépendant d’un paramètre. Zbl 0388.60056 Stricker, C.; Yor, M. 62 1978 Equivalent and absolutely continuous measure changes for jump-diffusion processes. Zbl 1082.60034 Cheridito, Patrick; Filipović, Damir; Yor, Marc 60 2005 Valeurs principales associées aux temps locaux Browniens. (Principal values associated to Brownian local times). Zbl 0619.60072 Biane, Ph.; Yor, M. 60 1987 Une solution simple au problème de Skorokhod. Zbl 0414.60055 Azema, Jacques; Yor, Marc 59 1979 Some aspects of Brownian motion. Part II: Some recent martingale problems. Zbl 0880.60082 Yor, Marc 58 1997 Loi de l’indice du lacet Brownien, et distribution de Hartman-Watson. Zbl 0436.60057 Yor, Marc 56 1980 Making Markov martingales meet marginals: With explicit constructions. Zbl 1009.60037 Madan, Dilip B.; Yor, Marc 56 2002 Peacocks and associated martingales, with explicit constructions. Zbl 1227.60001 Hirsch, Francis; Profeta, Christophe; Roynette, Bernard; Yor, Marc 53 2011 Exponential functionals of Brownian motion. II: Some related diffusion processes. Zbl 1189.91232 Matsumoto, Hiroyuki; Yor, Marc 51 2005 A representation for non-colliding random walks. Zbl 1037.15019 O’Connell, Neil; Yor, Marc 50 2002 Grossissement d’une filtration et semi-martingales: formules explicites. Zbl 0411.60045 Jeulin, T.; Yor, M. 50 1978 Pricing options on realized variance. Zbl 1096.91022 Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc 48 2005 Asymptotic laws of planar Brownian motion. Zbl 0607.60070 Pitman, Jim; Yor, Marc 48 1986 On Walsh’s Brownian motions. Zbl 0747.60072 Barlow, Martin; Pitman, Jim; Yor, Marc 48 1989 Grossissements de filtrations: exemples et applications. Séminaire de Calcul Stochastique 1982/83, Université Paris VI. Zbl 0547.00034 47 1985 Infinitely divisible laws associated with hyperbolic functions. Zbl 1039.11054 Pitman, Jim; Yor, Marc 46 2003 The entrance laws of self-similar Markov processes and exponential functionals of Lévy processes. Zbl 1004.60046 Bertoin, Jean; Yor, Marc 45 2002 Arcsine laws and interval partitions derived from a stable subordinator. Zbl 0769.60014 Pitman, Jim; Yor, Marc 42 1992 On subordinators, self-similar Markov processes and some factorizations of the exponential variable. Zbl 1024.60030 Bertoin, Jean; Yor, Marc 41 2001 A multi- dimensional extension of the arcsine law. (Une extension multidimensionnelle de la loi de l’arc sinus.) Zbl 0738.60072 Barlow, Martin; Pitman, Jim; Yor, Marc 40 1989 Beta-gamma random variables and intertwining relations between certain Markov processes. Zbl 0919.60074 Carmona, Philippe; Petit, Frédérique; Yor, Marc 39 1998 Aspects of Brownian motion. Zbl 1162.60022 Mansuy, Roger; Yor, Marc 39 2008 Exponential functionals of Brownian motion and disordered systems. Zbl 0929.60063 Comtet, Alain; Monthus, Cécile; Yor, Marc 38 1998 An infinite-dimensional analogue of the Lebesgue measure and distinguished properties of the gamma process. Zbl 0990.60053 Tsilevich, Natalia; Vershik, Anatoly; Yor, Marc 38 2001 Exercises in probability. A guided tour from measure theory to random processes, via conditioning. Zbl 1065.60001 Chaumont, L.; Yor, M. 38 2003 On the entire moments of self-similar Markov processes and exponential functionals of Lévy processes. Zbl 1031.60038 Bertoin, Jean; Yor, Marc 38 2002 Generalized gamma convolutions, Dirichlet means, Thorin measures, with explicit examples. Zbl 1189.60035 James, Lancelot F.; Roynette, Bernard; Yor, Marc 37 2008 The importance of strictly local martingales; applications to radial Ornstein-Uhlenbeck processes. Zbl 0960.60046 Elworthy, K. D.; Li, Xue-Mei; Yor, M. 35 1999 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 35 2001 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 33 2001 Étude des solutions extremales et représentation intégrale des solutions pour certains problèmes de martingales. Zbl 0346.60032 Jacod, Jean; Yor, Marc 33 1977 Sur la variation quadratique des temps locaux de certaines semimartingales. Zbl 0476.60046 Bouleau, Nicolas; Yor, Marc 31 1981 Exponential functionals of Lévy processes. Zbl 0979.60038 Carmona, Philippe; Petit, Frédérique; Yor, Marc 31 2001 Asymptotic laws for compositions derived from transformed subordinators. Zbl 1142.60327 Gnedin, Alexander; Pitman, Jim; Yor, Marc 29 2006 Hitting, occupation and inverse local times of one-dimensional diffusions: Martingale and excursion approaches. Zbl 1024.60032 Pitman, Jim; Yor, Marc 29 2003 Some penalisations of the Wiener measure. Zbl 1160.60315 Roynette, B.; Vallois, P.; Yor, M. 28 2006 Decomposition at the maximum for excursions and bridges of one-dimensional diffusions. Zbl 0877.60053 Pitman, Jim; Yor, Marc 28 1996 An analogue of Pitman’s \(2M-X\) theorem for exponential Wiener functionals. I: A time-inversion approach. Zbl 0963.60076 Matsumoto, Hiroyuki; Yor, Marc 27 2000 (Semi-) martingale inequalities and local times. Zbl 0451.60050 Barlow, M. T.; Yor, M. 27 1981 Doob’s maximal identity, multiplicative decompositions and enlargements of filtrations. Zbl 1101.60059 Nikeghbali, Ashkan; Yor, Marc 26 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 26 2004 Fubini’s theorem for double Wiener integrals and the variance of the Brownian path. Zbl 0738.60074 Donati-Martin, C.; Yor, M. 26 1991 The characteristic polynomial of a random unitary matrix: a probabilistic approach. Zbl 1155.15025 Bourgade, P.; Hughes, C. P.; Nikeghbali, A.; Yor, M. 26 2008 On quadratic functionals of the Brownian sheet and related processes. Zbl 1090.60020 Deheuvels, Paul; Peccati, Giovanni; Yor, Marc 25 2006 A definition and some characteristic properties of pseudo-stopping times. Zbl 1083.60035 Nikeghbali, Ashkan; Yor, Marc 24 2005 Existence et unicité de diffusions à valeurs dans un espace de Hilbert. Zbl 0281.60094 Yor, M. 24 1974 On the excursion theory for linear diffusions. Zbl 1160.60024 Salminen, Paavo; Vallois, Pierre; Yor, Marc 24 2007 Limiting laws associated with Brownian motion perturbed by its maximum, minimum and local time, II. Zbl 1121.60004 Roynette, Bernard; Vallois, Pierre; Yor, Marc 23 2006 Self-similar processes with independent increments associated with Lévy and Bessel processes. Zbl 1059.60052 Jeanblanc, M.; Pitman, Jim; Yor, Marc 23 2002 Some new examples of Markov processes which enjoy the time-inversion property. Zbl 1087.60058 Gallardo, Léonard; Yor, Marc 23 2005 On certain exponential functionals of the real Bownian motion. (Sur certaines fonctionnelles exponentielles du mouvement brownien réel.) Zbl 0758.60085 Yor, Marc 23 1992 Beta variables as times spent in \([0, \infty[\) by certain perturbed Brownian motions. Zbl 0924.60067 Carmona, Philippe; Petit, Frédérique; Yor, Marc 23 1998 On D. Williams’ ”pinching method” and some applications. Zbl 0518.60088 Messulam, P.; Yor, M. 22 1982 On the exponential functionals of certain Lévy processes. (Sur les fonctionnelles exponentielles de certains processus de Lévy.) Zbl 0830.60072 Carmona, P.; Petit, F.; Yor, M. 22 1994 Renormalisation et convergence en loi pour les temps locaux d’intersection du mouvement brownien dans \({\mathbb{R}}^ 3\). Zbl 0569.60075 Yor, M. 21 1985 Inégalité de Hardy, semimartingales, et faux-amis. Zbl 0419.60049 Jeulin, T.; Yor, M. 21 1979 Les inégalités des sous-martingales, comme consequences de la rélation de domination. Zbl 0437.60038 Yor, Marc 21 1979 Further asymptotic laws of planar Brownian motion. Zbl 0686.60085 Pitman, Jim; Yor, Marc 20 1989 The Brownian burglar: Conditioning Brownian motion by its local time process. Zbl 0924.60072 Warren, J.; Yor, M. 20 1998 A relationship between Brownian motions with opposite drifts via certain enlargements of the Brownian filtration. Zbl 0981.60078 Matsumoto, Hiroyuki; Yor, Marc 20 2001 Ito’s integrated formula for strict local martingales. Zbl 1133.60025 Madan, Dilip B.; Yor, Marc 19 2006 Large deviations for squares of Bessel and Ornstein-Uhlenbeck processes. Zbl 1055.60017 Donati-Martin, C.; Rouault, A.; Yor, M.; Zani, M. 19 2004 Harmonic and stochastic analysis of Dunkl processes. Zbl 1205.60005 19 2008 Some martingales associated to reflected Lévy processes. Zbl 1079.60048 Nguyen-Ngoc, Laurent; Yor, Marc 19 2005 Harnesses, Lévy bridges and Monsieur Jourdain. Zbl 1070.60041 Mansuy, Roger; Yor, Marc 19 2005 Some extensions of the arc sine law as partial consequences of the scaling property of Brownian motion. Zbl 0808.60066 Carmona, Ph.; Petit, F.; Yor, M. 19 1994 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 0914.60064 Barlow, M. T.; Émery, M.; Knight, F. B.; Song, S.; Yor, M. 18 1998 Exponential functionals and principal values related to Brownian motion. A collection of research papers. Zbl 0889.00015 18 1997 A study of the Hartman-Watson distribution motivated by numerical problems related to the pricing of Asian options. Zbl 1064.60021 Barrieu, P.; Rouault, A.; Yor, M. 18 2004 A clarification note about hitting times densities for Ornstein-Uhlenbeck processes. Zbl 1064.60026 Göing-Jaeschke, Anja; Yor, Marc 18 2003 Enlacements du mouvements Brownien autour des courbes de l’espace. (Winding of the Browian motion around space curves). Zbl 0696.60072 Le Gall, Jean-Francois; Yor, Marc 18 1990 Œuvres complètes – collected works. Edited by Marc Yor and Bernard Bru. With forewords by Jean-Michel Bismut and Hans Föllmer. With commentaries by Marius Iosifescu, Torgny Lindvall, David Mason, Esa Nummelin and Eugene Seneta. Zbl 1460.01019 Doeblin, Wolfgang 4 2020 On peacocks and lyrebirds: Australian options, Brownian bridges, and the average of submartingales. Zbl 1390.91299 Ewald, Christian-Oliver; Yor, Marc 5 2018 Unifying the Dynkin and Lebesgue-Stieltjes formulae. Zbl 1400.60059 Kella, Offer; Yor, Marc 3 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 8 2015 Around Tsirelson’s equation, or: the evolution process may not explain everything. Zbl 1328.60170 Yano, Kouji; Yor, Marc 6 2015 On increasing risk, inequality and poverty measures: peacocks, lyrebirds and exotic options. Zbl 1401.91135 Ewald, Christian-Oliver; Yor, Marc 5 2015 Some explicit formulas for the Brownian bridge, Brownian meander and Bessel process under uniform sampling. Zbl 1333.60181 Rosenbaum, Mathieu; Yor, Marc 3 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 A Gaussian martingale which is the sum of two independent Gaussian non-semimartingales. Zbl 1329.60099 Yor, Marc 1 2015 Random scaling and sampling of Brownian motion. Zbl 1335.60157 Rosenbaum, Mathieu; Yor, Marc 1 2015 A new proof of Williams’ decomposition of the Bessel process of dimension three with a look at last-hitting times. Zbl 1329.60275 Bruss, F. Thomas; Yor, Marc 1 2015 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 17 2014 Two price economies in continuous time. Zbl 1298.91086 Eberlein, Ernst; Madan, Dilip; Pistorius, Martijn; Schoutens, Wim; Yor, Marc 13 2014 How to make Dupire’s local volatility work with jumps. Zbl 1402.91776 Friz, Peter K.; Gerhold, Stefan; Yor, Marc 11 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 2 2014 Local times for functions with finite variation: two versions of Stieltjes change-of-variables formula. Zbl 1295.26011 Bertoin, Jean; Yor, Marc 2 2014 Comparing Brownian stochastic integrals for the convex order. Zbl 1322.60079 Hirsch, Francis; 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 15 2013 On the Mellin transforms of the perpetuity and the remainder variables associated to a subordinator. Zbl 1287.60096 Hirsch, Francis; Yor, Marc 10 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 6 2013 A simple stochastic rate model for rate equity hybrid products. Zbl 1396.91780 Eberlein, Ernst; Madan, Dilip; Pistorius, Martijn; Yor, Marc 5 2013 Integrability properties and limit theorems for the exit time from a cone of planar Brownian motion. Zbl 1294.60103 Vakeroudis, Stavros; Yor, Marc 5 2013 On the remarkable Lamperti representation of the inverse local time of a radial Ornstein-Uhlenbeck process. Zbl 1287.60048 Hirsch, Francis; Yor, Marc 4 2013 Pure jump increasing processes and the change of variables formula. Zbl 1306.60120 Bertoin, Jean; 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 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 8 2012 Some infinite divisibility properties of the reciprocal of planar Brownian motion exit time from a cone. Zbl 1259.60097 Vakeroudis, Stavros; Yor, Marc 6 2012 On temporally completely monotone functions for Markov processes. Zbl 1245.60071 Hirsch, Francis; Yor, Marc 5 2012 Stochastic processes with proportional increments and the last-arrival problem. Zbl 1255.60166 Bruss, F. Thomas; Yor, Marc 4 2012 A scaling proof for Walsh’s Brownian motion extended arc-sine law. Zbl 1323.60115 Vakeroudis, Stavros; Yor, Marc 4 2012 Stochastic filtering at Saint-Flour. Reprint of lectures originally published in the Lecture Notes in Mathematics volumes 876 (1981) and 1464 (1991). Zbl 1397.60010 El 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 1239.60022 Vakeroudis, S.; Yor, M. 2 2012 Moments of Wiener integrals for subordinators. Zbl 1329.60165 Madan, Dilip; Yor, Marc 2 2012 Peacocks and associated martingales, with explicit constructions. Zbl 1227.60001 Hirsch, Francis; Profeta, Christophe; Roynette, Bernard; Yor, Marc 53 2011 The mean first rotation time of a planar polymer. Zbl 1221.82159 Vakeroudis, S.; Yor, M.; Holcman, D. 11 2011 On hitting times of affine boundaries by reflecting Brownian motion and Bessel processes. Zbl 1274.60251 Salminen, Paavo; Yor, Marc 8 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 6 2011 A sequence of Albin type continuous martingales with Brownian marginals and scaling. Zbl 1216.60039 Baker, David; Donati-Martin, Catherine; Yor, Marc 4 2011 Call option prices based on Bessel processes. Zbl 1217.60071 Yen, Ju-Yi; Yor, Marc 4 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 3 2011 Constructing self-similar martingales via two Skorokhod embeddings. Zbl 1234.60047 Hirsch, Francis; Profeta, Christophe; Roynette, Bernard; Yor, Marc 3 2011 Options on realized variance and convex orders. Zbl 1277.91164 Carr, Peter; Geman, Helyette; Madan, Dilip B.; 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 17 2010 Penalisation of a stable Lévy process involving its one-sided supremum. Zbl 1208.60046 Yano, Kouji; Yano, Yuko; Yor, Marc 6 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 4 2010 Looking for martingales associated to a self-decomposable law. Zbl 1225.60131 Hirsch, Francis; 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 3 2010 A new formula for some linear stochastic equations with applications. Zbl 1196.60122 Kella, Offer; Yor, Marc 2 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 291 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 17 2009 Penalising Brownian paths. Dedicated to Frank Knight (1933-2007). Zbl 1190.60002 Roynette, Bernard; Yor, Marc 17 2009 A global view of Brownian penalisations. Zbl 1180.60004 Najnudel, J.; Roynette, B.; Yor, M. 16 2009 Penalising symmetric stable Lévy paths. Zbl 1180.60008 Yano, Kouji; Yano, Yuko; Yor, Marc 15 2009 A Brownian sheet martingale with the same marginals as the arithmetic average of geometric Brownian motion. Zbl 1201.60033 Baker, David; Yor, Marc 10 2009 The Barnes G function and its relations with sums and products of generalized gamma convolution variables. Zbl 1189.60073 Nikeghbali, Ashkan; Yor, Marc 9 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. 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 6 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 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. 4 2009 A family of generalized gamma convoluted variables. Zbl 1197.60012 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 Aspects of Brownian motion. Zbl 1162.60022 Mansuy, Roger; Yor, Marc 39 2008 Generalized gamma convolutions, Dirichlet means, Thorin measures, with explicit examples. Zbl 1189.60035 James, Lancelot F.; Roynette, Bernard; Yor, Marc 37 2008 The characteristic polynomial of a random unitary matrix: a probabilistic approach. Zbl 1155.15025 Bourgade, P.; Hughes, C. P.; Nikeghbali, A.; Yor, M. 26 2008 Harmonic and stochastic analysis of Dunkl processes. Zbl 1205.60005 19 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 17 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 16 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 14 2008 An arithmetic model for the total disorder process. Zbl 1144.60020 Hughes, C. P.; Nikeghbali, A.; Yor, M. 9 2008 Quasi-invariance properties of a class of subordinators. Zbl 1180.60044 von Renesse, Max-K.; Yor, Marc; Zambotti, Lorenzo 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 Renewal series and square-root boundaries for Bessel processes. Zbl 1190.60031 Enriquez, Nathanael; Sabot, Christophe; Yor, Marc 4 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 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 74 2007 On the excursion theory for linear diffusions. Zbl 1160.60024 Salminen, Paavo; Vallois, Pierre; Yor, Marc 24 2007 Tanaka formula for symmetric Lévy processes. Zbl 1129.60043 Salminen, Paavo; Yor, Marc 10 2007 Itô’s excursion theory and its applications. Zbl 1156.60066 Pitman, Jim; Yor, Marc 10 2007 Euler’s formulae for \(\zeta(2n)\) and products of Cauchy variables. Zbl 1129.60088 Bourgade, Paul; Fujita, Takahiko; Yor, Marc 9 2007 Some aspects of the probabilistic work. Zbl 1369.60003 Chaumont, Loïc; Mazliak, Laurent; Yor, Marc 8 2007 Some remarkable properties of gamma processes. Zbl 1156.60030 Yor, Marc 8 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 5 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. 4 2007 Further examples of explicit Krein representations of certain subordinators. Zbl 1129.60042 Donati-Martin, Catherine; Yor, Marc 4 2007 Correlation and the pricing of risks. Zbl 1233.91320 Atlan, Marc; Geman, Hélyette; Madan, Dilip B.; 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 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 Wiener integrals for centered powers of Bessel processes. I. Zbl 1123.60035 Funaki, T.; Hariya, Y.; Yor, M. 3 2007 Probing option prices for information. Zbl 1157.60067 Geman, Hélyette; Madan, Dilip B.; Yor, Marc 2 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 A note about Selberg’s integrals in relation with the beta-gamma algebra. Zbl 1160.33002 Yor, Marc 1 2007 Random times and enlargements of filtrations in a Brownian setting. Zbl 1103.60003 Mansuy, Roger; Yor, Marc 64 2006 ...and 317 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 5,599 Authors 129 Yor, Marc 61 Madan, Dilip B. 43 Jeanblanc, Monique 40 Pitman, Jim William 33 Vallois, Pierre 29 Le Gall, Jean-François 28 Patie, Pierre 27 Nualart, David 27 Russo, Francesco 25 Ouknine, Youssef 25 Roynette, Bernard 25 Shi, Zhan 24 Bertoin, Jean 24 Gapeev, Pavel V. 24 Yano, Kouji 23 Kyprianou, Andreas E. 22 Hobson, David Graham 22 Imkeller, Peter 22 Nikeghbali, Ashkan 21 Hairer, Martin 21 Iksanov, Aleksander M. 21 Peccati, Giovanni 21 Yan, Litan 20 Corwin, Ivan Z. 20 Favaro, Stefano 20 Khoshnevisan, Davar 20 Pardo, Juan Carlos 20 Peskir, Goran 20 Schoutens, Wim 20 Winkel, Matthias 19 Albeverio, Sergio A. 19 Ankirchner, Stefan 19 Protter, Philip Elliott 18 Janson, Svante 18 Najnudel, Joseph 18 O’Connell, Neil 18 Röckner, Michael 18 Simon, Thomas 18 Wiśniewolski, Maciej 18 Zambotti, Lorenzo 18 Zhou, Xiaowen 17 Ferrari, Giorgio 17 Jakubowski, Jacek 17 Mijatović, Aleksandar 17 Palmowski, Zbigniew 17 Rutkowski, Marek 17 Sheffield, Scott 17 Wesołowski, Jacek 16 Carr, Peter Paul 16 Dalang, Robert C. 16 Hamadene, Saïd 16 Karatzas, Ioannis 16 Majumdar, Satya N. 16 Pal, Soumik 16 Pardoux, Etienne 16 Platen, Eckhard 16 Prünster, Igor 16 Touzi, Nizar 16 Wang, King-Hang 16 Werner, Wendelin 15 Barczy, Mátyás 15 Cui, Zhenyu 15 Dassios, Angelos 15 El Karoui, Nicole 15 Flandoli, Franco 15 Fontana, Claudio 15 Hu, Yueyun 15 Jourdain, Benjamin 15 Kardaras, Constantinos 15 Pirjol, Dan 15 Privault, Nicolas 15 Rosen, Jay S. 15 Schachermayer, Walter 14 Beiglböck, Mathias 14 Borodin, Alexei 14 Chaumont, Loïc 14 De Angelis, Tiziano 14 Engelbert, Hans-Jürgen 14 Gobet, Emmanuel 14 Obloj, Jan K. 14 Osękowski, Adam 14 Pistorius, Martijn R. 14 Rivero, Víctor Manuel 14 Siu, Tak Kuen 14 Zhang, Xicheng 13 Bayraktar, Erhan 13 Çetin, Umut 13 Criens, David 13 Eisenbaum, Nathalie 13 Gnedin, Alexander V. 13 Guasoni, Paolo 13 Lijoi, Antonio 13 Linetsky, Vadim 13 Matsumoto, Hiroyuki 13 Pap, Gyula 13 Petrović, Ljiljana 13 Ruf, Johannes 13 Uribe Bravo, Gerónimo 13 Urusov, Mikhail A. 12 Bass, Richard F. ...and 5,499 more Authors all top 5 Cited in 511 Serials 531 Stochastic Processes and their Applications 272 The Annals of Probability 210 Probability Theory and Related Fields 203 The Annals of Applied Probability 193 Statistics & Probability Letters 150 Journal of Theoretical Probability 131 Annales de l’Institut Henri Poincaré. 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