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Author ID: yor.marc Recent zbMATH articles by "Yor, Marc"
Published as: Yor, Marc; Yor, M.
External Links: MGP · Wikidata · Math-Net.Ru · GND · IdRef · theses.fr
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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
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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

Publications by Year

Citations contained in zbMATH Open

426 Publications have been cited 10,378 times in 6,427 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
630
1991
Mathematical methods for financial markets. Zbl 1205.91003
Jeanblanc, Monique; Yor, Marc; Chesney, Marc
302
2009
Stochastic volatility for Lévy processes. Zbl 1092.91022
Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc
267
2003
The two-parameter Poisson-Dirichlet distribution derived from a stable subordinator. Zbl 0880.60076
Pitman, Jim; Yor, Marc
260
1997
Continuous martingales and Brownian motion. 3rd ed., 3rd. corrected printing. Zbl 1087.60040
Revuz, Daniel; Yor, Marc
241
2005
Continuous martingales and Brownian motion. 2nd ed. Zbl 0804.60001
Revuz, Daniel; Yor, Marc
231
1994
Bessel processes, Asian options, and perpetuities. Zbl 0884.90029
Geman, Hélyette; Yor, Marc
171
1993
On some exponential functionals of Brownian motion. Zbl 0765.60084
Yor, Marc
162
1992
A decomposition of Bessel bridges. Zbl 0484.60062
Pitman, Jim; Yor, Marc
156
1982
Exponential functionals of Brownian motion and related processes. Zbl 0999.60004
Yor, Marc
126
2001
A survey and some generalizations of Bessel processes. Zbl 1038.60079
Göing-Jaeschke, Anja; Yor, Marc
124
2003
Brownian analogues of Burke’s theorem. Zbl 1058.60078
O’Connell, Neil; Yor, Marc
113
2001
Size-biased sampling of Poisson point processes and excursions. Zbl 0741.60037
Perman, Mihael; Pitman, Jim; Yor, Marc
110
1992
Semi-martingale inequalities via the Garsia-Rodemich-Rumsey lemma, and applications to local times. Zbl 0505.60054
Barlow, M. T.; Yor, M.
98
1982
Exponential functionals of Brownian motion. I: Probability laws at fixed time. Zbl 1189.60150
Matsumoto, Hiroyuki; Yor, Marc
97
2005
Changes of filtrations and of probability measures. Zbl 0415.60048
Bremaud, Pierre; Yor, Marc
96
1978
Brownian excursions and Parisian barrier options. Zbl 0882.60042
Chesney, Marc; Jeanblanc-Picqué, Monique; Yor, Marc
96
1997
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
89
2001
On models of default risk. Zbl 1042.91038
Elliott, R. J.; Jeanblanc, M.; Yor, M.
85
2000
Bessel processes and infinitely divisible laws. Zbl 0469.60076
Pitman, Jim; Yor, Marc
84
1981
Some aspects of Brownian motion, Part I: Some special functionals. Zbl 0779.60070
Yor, Marc
83
1992
On the distribution and asymptotic results for exponential functionals of Lévy processes. Zbl 0905.60056
Carmona, Philippe; Petit, Frédérique; Yor, Marc
80
1997
Self-decomposability and option pricing. Zbl 1278.91157
Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc
76
2007
Une solution simple au problème de Skorokhod. Zbl 0414.60055
Azema, Jacques; Yor, Marc
75
1979
Pricing and hedging double-barrier options: A probabilistic approach. Zbl 0915.90016
Geman, Hélyette; Yor, Marc
68
1996
Markovian bridges: Construction, Palm interpretation, and splicing. Zbl 0844.60054
Fitzsimmons, Pat; Pitman, Jim; Yor, Marc
67
1992
Random times and enlargements of filtrations in a Brownian setting. Zbl 1103.60003
Mansuy, Roger; Yor, Marc
66
2006
Some aspects of Brownian motion. Part II: Some recent martingale problems. Zbl 0880.60082
Yor, Marc
65
1997
Time changes for Lévy processes. Zbl 0983.60082
Geman, Hélyette; Madan, Dilip B.; Yor, Marc
64
2001
Calcul stochastique dépendant d’un paramètre. Zbl 0388.60056
Stricker, C.; Yor, M.
63
1978
Equivalent and absolutely continuous measure changes for jump-diffusion processes. Zbl 1082.60034
Cheridito, Patrick; Filipović, Damir; Yor, Marc
61
2005
Valeurs principales associées aux temps locaux Browniens. (Principal values associated to Brownian local times). Zbl 0619.60072
Biane, Ph.; Yor, M.
60
1987
Loi de l’indice du lacet Brownien, et distribution de Hartman-Watson. Zbl 0436.60057
Yor, Marc
57
1980
Making Markov martingales meet marginals: With explicit constructions. Zbl 1009.60037
Madan, Dilip B.; Yor, Marc
56
2002
Grossissement d’une filtration et semi-martingales: formules explicites. Zbl 0411.60045
Jeulin, T.; Yor, M.
54
1978
Peacocks and associated martingales, with explicit constructions. Zbl 1227.60001
Hirsch, Francis; Profeta, Christophe; Roynette, Bernard; Yor, Marc
54
2011
A representation for non-colliding random walks. Zbl 1037.15019
O’Connell, Neil; Yor, Marc
52
2002
Exponential functionals of Brownian motion. II: Some related diffusion processes. Zbl 1189.91232
Matsumoto, Hiroyuki; Yor, Marc
51
2005
Grossissements de filtrations: exemples et applications. Séminaire de Calcul Stochastique 1982/83, Université Paris VI. Zbl 0547.00034
51
1985
Pricing options on realized variance. Zbl 1096.91022
Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc
49
2005
On Walsh’s Brownian motions. Zbl 0747.60072
Barlow, Martin; Pitman, Jim; Yor, Marc
48
1989
Asymptotic laws of planar Brownian motion. Zbl 0607.60070
Pitman, Jim; Yor, Marc
48
1986
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
42
2001
Beta-gamma random variables and intertwining relations between certain Markov processes. Zbl 0919.60074
Carmona, Philippe; Petit, Frédérique; Yor, Marc
41
1998
Aspects of Brownian motion. Zbl 1162.60022
Mansuy, Roger; Yor, Marc
41
2008
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
Exponential functionals of Brownian motion and disordered systems. Zbl 0929.60063
Comtet, Alain; Monthus, Cécile; Yor, Marc
40
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
39
2001
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
38
2008
Exercises in probability. A guided tour from measure theory to random processes, via conditioning. Zbl 1065.60001
Chaumont, L.; Yor, M.
38
2003
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
36
2001
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
Étude des solutions extremales et représentation intégrale des solutions pour certains problèmes de martingales. Zbl 0346.60032
Jacod, Jean; Yor, Marc
33
1977
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
Exponential functionals of Lévy processes. Zbl 0979.60038
Carmona, Philippe; Petit, Frédérique; Yor, Marc
33
2001
Harmonic and stochastic analysis of Dunkl processes. Zbl 1205.60005
32
2008
Sur la variation quadratique des temps locaux de certaines semimartingales. Zbl 0476.60046
Bouleau, Nicolas; Yor, Marc
31
1981
Decomposition at the maximum for excursions and bridges of one-dimensional diffusions. Zbl 0877.60053
Pitman, Jim; Yor, Marc
30
1996
Hitting, occupation and inverse local times of one-dimensional diffusions: Martingale and excursion approaches. Zbl 1024.60032
Pitman, Jim; Yor, Marc
29
2003
Asymptotic laws for compositions derived from transformed subordinators. Zbl 1142.60327
Gnedin, Alexander; Pitman, Jim; Yor, Marc
29
2006
An analogue of Pitman’s \(2M-X\) theorem for exponential Wiener functionals. I: A time-inversion approach. Zbl 0963.60076
Matsumoto, Hiroyuki; Yor, Marc
28
2000
Some penalisations of the Wiener measure. Zbl 1160.60315
Roynette, B.; Vallois, P.; Yor, M.
28
2006
Doob’s maximal identity, multiplicative decompositions and enlargements of filtrations. Zbl 1101.60059
Nikeghbali, Ashkan; Yor, Marc
27
2006
(Semi-) martingale inequalities and local times. Zbl 0451.60050
Barlow, M. T.; Yor, M.
27
1981
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
27
2004
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
Fubini’s theorem for double Wiener integrals and the variance of the Brownian path. Zbl 0738.60074
Donati-Martin, C.; Yor, M.
26
1991
On quadratic functionals of the Brownian sheet and related processes. Zbl 1090.60020
Deheuvels, Paul; Peccati, Giovanni; Yor, Marc
25
2006
On the excursion theory for linear diffusions. Zbl 1160.60024
Salminen, Paavo; Vallois, Pierre; Yor, Marc
25
2007
Existence et unicité de diffusions à valeurs dans un espace de Hilbert. Zbl 0281.60094
Yor, M.
25
1974
Renormalisation et convergence en loi pour les temps locaux d’intersection du mouvement brownien dans \({\mathbb{R}}^ 3\). Zbl 0569.60075
Yor, M.
24
1985
A definition and some characteristic properties of pseudo-stopping times. Zbl 1083.60035
Nikeghbali, Ashkan; Yor, Marc
24
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
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
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
Inégalité de Hardy, semimartingales, et faux-amis. Zbl 0419.60049
Jeulin, T.; Yor, M.
22
1979
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
On D. Williams’ ”pinching method” and some applications. Zbl 0518.60088
Messulam, P.; Yor, M.
22
1982
Les inégalités des sous-martingales, comme consequences de la rélation de domination. Zbl 0437.60038
Yor, Marc
21
1979
Some martingales associated to reflected Lévy processes. Zbl 1079.60048
Nguyen-Ngoc, Laurent; Yor, Marc
21
2005
Grossissement d’une filtration et semi-martingales: Théoremes généraux. Zbl 0411.60044
Yor, Marc
20
1978
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
Further asymptotic laws of planar Brownian motion. Zbl 0686.60085
Pitman, Jim; Yor, Marc
20
1989
Ito’s integrated formula for strict local martingales. Zbl 1133.60025
Madan, Dilip B.; Yor, Marc
19
2006
Sur les distributions de certaines fonctionnelles du mouvement brownien. Zbl 0462.60077
Jeulin, T.; Yor, M.
19
1981
Exponential functionals and principal values related to Brownian motion. A collection of research papers. Zbl 0889.00015
19
1997
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
Large deviations for squares of Bessel and Ornstein-Uhlenbeck processes. Zbl 1055.60017
Donati-Martin, C.; Rouault, A.; Yor, M.; Zani, M.
19
2004
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
19
1990
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
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 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
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
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
14
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
17
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
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
Retrieving information from subordination. Zbl 1284.60084
Bertoin, Jean; 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
9
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
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
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
Peacocks and associated martingales, with explicit constructions. Zbl 1227.60001
Hirsch, Francis; Profeta, Christophe; Roynette, Bernard; Yor, Marc
54
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
Call option prices based on Bessel processes. Zbl 1217.60071
Yen, Ju-Yi; Yor, Marc
4
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
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
Small and big probability worlds. Zbl 1238.60001
Yor, Marc
1
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
Looking for martingales associated to a self-decomposable law. Zbl 1225.60131
Hirsch, Francis; 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
4
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
302
2009
Penalising Brownian paths. Dedicated to Frank Knight (1933-2007). Zbl 1190.60002
Roynette, Bernard; Yor, Marc
18
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
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
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
Penalisations of multidimensional Brownian motion. VI. Zbl 1189.60069
Roynette, Bernard; Vallois, Pierre; Yor, Marc
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
41
2008
Generalized gamma convolutions, Dirichlet means, Thorin measures, with explicit examples. Zbl 1189.60035
James, Lancelot F.; Roynette, Bernard; Yor, Marc
38
2008
Harmonic and stochastic analysis of Dunkl processes. Zbl 1205.60005
32
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
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
18
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
76
2007
On the excursion theory for linear diffusions. Zbl 1160.60024
Salminen, Paavo; Vallois, Pierre; Yor, Marc
25
2007
Tanaka formula for symmetric Lévy processes. Zbl 1129.60043
Salminen, Paavo; Yor, Marc
10
2007
Some remarkable properties of gamma processes. Zbl 1156.60030
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
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
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
Further examples of explicit Krein representations of certain subordinators. Zbl 1129.60042
Donati-Martin, Catherine; Yor, Marc
4
2007
A remarkable \(\sigma \)-finite measure on \(\mathcal C(\mathbb{R}_+,\mathbb{R})\) related to many Brownian penalisations. Zbl 1221.60003
Najnudel, Joseph; Roynette, Bernard; Yor, Marc
4
2007
Correlation and the pricing of risks. Zbl 1233.91320
Atlan, Marc; Geman, Hélyette; Madan, Dilip B.; 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
...and 326 more Documents
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Cited by 5,758 Authors

131 Yor, Marc
62 Madan, Dilip B.
44 Jeanblanc, Monique
41 Pitman, Jim William
33 Vallois, Pierre
29 Le Gall, Jean-François
29 Patie, Pierre
28 Nualart, David
27 Russo, Francesco
26 Ouknine, Youssef
25 Roynette, Bernard
25 Shi, Zhan
25 Yano, Kouji
24 Bertoin, Jean
24 Gapeev, Pavel V.
24 Kyprianou, Andreas E.
23 Hobson, David Graham
22 Imkeller, Peter
22 Nikeghbali, Ashkan
21 Corwin, Ivan Z.
21 Favaro, Stefano
21 Hairer, Martin
21 Iksanov, Aleksander M.
21 Peccati, Giovanni
21 Yan, Litan
20 Albeverio, Sergio A.
20 Khoshnevisan, Davar
20 Pardo, Juan Carlos
20 Peskir, Goran
20 Schoutens, Wim
20 Winkel, Matthias
19 Ankirchner, Stefan
19 Majumdar, Satya N.
19 Protter, Philip Elliott
19 Röckner, Michael
18 Janson, Svante
18 Najnudel, Joseph
18 O’Connell, Neil
18 Simon, Thomas
18 Wiśniewolski, Maciej
18 Zambotti, Lorenzo
18 Zhou, Xiaowen
17 Ferrari, Giorgio
17 Flandoli, Franco
17 Jakubowski, Jacek
17 Mijatović, Aleksandar
17 Palmowski, Zbigniew
17 Platen, Eckhard
17 Privault, Nicolas
17 Prünster, Igor
17 Rutkowski, Marek
17 Sheffield, Scott
17 Wesołowski, Jacek
16 Carr, Peter Paul
16 Dalang, Robert C.
16 El Karoui, Nicole
16 Hamadene, Saïd
16 Jourdain, Benjamin
16 Karatzas, Ioannis
16 Pal, Soumik
16 Pardoux, Etienne
16 Rosen, Jay S.
16 Schachermayer, Walter
16 Touzi, Nizar
16 Wang, King-Hang
16 Werner, Wendelin
15 Barczy, Mátyás
15 Cui, Zhenyu
15 Dassios, Angelos
15 De Angelis, Tiziano
15 Fontana, Claudio
15 Hu, Yueyun
15 Kardaras, Constantinos
15 Matsumoto, Hiroyuki
15 Obloj, Jan K.
15 Pirjol, Dan
14 Beiglböck, Mathias
14 Borodin, Alexei
14 Chaumont, Loïc
14 Engelbert, Hans-Jürgen
14 Gobet, Emmanuel
14 Guasoni, Paolo
14 Lijoi, Antonio
14 Osękowski, Adam
14 Pistorius, Martijn R.
14 Rivero, Víctor Manuel
14 Schehr, Grégory
14 Shkolnikov, Mykhaylo
14 Siu, Tak Kuen
14 Urusov, Mikhail A.
14 Zhang, Xicheng
13 Bayraktar, Erhan
13 Çetin, Umut
13 Chen, Zhen-Qing
13 Cox, Alexander Matthew Gordon
13 Criens, David
13 Demni, Nizar
13 Eisenbaum, Nathalie
13 Gnedin, Alexander V.
13 Le Doussal, Pierre
...and 5,658 more Authors
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Cited in 518 Serials

556 Stochastic Processes and their Applications
272 The Annals of Probability
211 Probability Theory and Related Fields
206 The Annals of Applied Probability
199 Statistics & Probability Letters
151 Journal of Theoretical Probability
134 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
133 Electronic Journal of Probability
122 Finance and Stochastics
121 Quantitative Finance
119 International Journal of Theoretical and Applied Finance
118 Bernoulli
117 Journal of Applied Probability
108 Journal of Statistical Physics
99 Mathematical Finance
89 Insurance Mathematics & Economics
89 Stochastic Analysis and Applications
88 Stochastics
86 Journal of Mathematical Analysis and Applications
86 Journal of Functional Analysis
72 Advances in Applied Probability
58 Communications in Mathematical Physics
58 Potential Analysis
57 Transactions of the American Mathematical Society
56 SIAM Journal on Financial Mathematics
54 Journal of Econometrics
54 Applied Mathematical Finance
49 ALEA. Latin American Journal of Probability and Mathematical Statistics
48 Journal of Computational and Applied Mathematics
46 Methodology and Computing in Applied Probability
41 Electronic Communications in Probability
38 Comptes Rendus. Mathématique. Académie des Sciences, Paris
36 SIAM Journal on Control and Optimization
36 Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete
34 Proceedings of the American Mathematical Society
34 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
34 Mathematics and Financial Economics
33 Stochastics and Dynamics
33 Journal of Physics A: Mathematical and Theoretical
33 Annals of Finance
32 Journal of Statistical Mechanics: Theory and Experiment
31 Theory of Probability and its Applications
31 Applied Mathematics and Optimization
28 Journal of Mathematical Physics
28 The Annals of Statistics
27 Journal of Multivariate Analysis
27 Bulletin des Sciences Mathématiques
26 Journal of Economic Dynamics & Control
24 Communications in Statistics. Theory and Methods
23 Physica A
23 Journal of Differential Equations
23 Probability Surveys
22 Review of Derivatives Research
22 Electronic Journal of Statistics
21 Applied Mathematics and Computation
21 Stochastic and Partial Differential Equations. Analysis and Computations
20 European Journal of Operational Research
20 Asia-Pacific Financial Markets
19 Journal of Mathematical Sciences (New York)
19 Stochastic Models
19 Science China. Mathematics
18 Journal of Statistical Planning and Inference
18 Decisions in Economics and Finance
17 Bayesian Analysis
16 Probability and Mathematical Statistics
16 Queueing Systems
15 Stochastics
15 Statistical Inference for Stochastic Processes
15 Econometric Theory
15 Statistics and Computing
15 Frontiers of Mathematical Finance
14 Lithuanian Mathematical Journal
14 Annals of Operations Research
14 Computational Statistics and Data Analysis
13 Journal of Mathematical Biology
13 Advances in Mathematics
13 Acta Applicandae Mathematicae
13 SIAM Journal on Mathematical Analysis
13 Random Operators and Stochastic Equations
13 Scandinavian Actuarial Journal
13 Frontiers of Mathematics in China
13 Modern Stochastics. Theory and Applications
12 Computers & Mathematics with Applications
12 Communications on Pure and Applied Mathematics
12 Acta Mathematicae Applicatae Sinica. English Series
12 Stochastics and Stochastics Reports
12 Abstract and Applied Analysis
12 Infinite Dimensional Analysis, Quantum Probability and Related Topics
12 Annales Henri Poincaré
12 Discrete and Continuous Dynamical Systems. Series B
11 Scandinavian Journal of Statistics
11 Inventiones Mathematicae
11 Publications of the Research Institute for Mathematical Sciences, Kyoto University
11 Operations Research Letters
11 Statistical Science
11 Journal of Applied Mathematics and Stochastic Analysis
11 Random Structures & Algorithms
10 Annales de l’Institut Fourier
10 Annals of the Institute of Statistical Mathematics
10 Duke Mathematical Journal
...and 418 more Serials
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Cited in 58 Fields

5,196 Probability theory and stochastic processes (60-XX)
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144 Operator theory (47-XX)
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119 Combinatorics (05-XX)
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116 Ordinary differential equations (34-XX)
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102 Operations research, mathematical programming (90-XX)
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