WorldCat Identities

Yor, Marc

Overview
Works: 230 works in 1,052 publications in 5 languages and 16,282 library holdings
Genres: Conference papers and proceedings  History  Textbooks 
Roles: Author, Editor, Other, Thesis advisor, Honoree, Opponent, Creator, Dedicatee, 956, 958, Interviewee
Classifications: QA3, 519.2
Publication Timeline
.
Most widely held works by Marc Yor
Continuous martingales and Brownian motion by D Revuz( Book )

70 editions published between 1981 and 2008 in English and held by 1,127 WorldCat member libraries worldwide

This work provides a detailed study of Brownian Motion, via the Itô stochastic calculus of continuous processes, e.g. diffusions, continuous semi-martingales: it should facilitate the reading and understanding of research papers in this area, and be of interest both to graduate students and to more advanced readers, either working primarily with stochastic processes, or doing research in an area involving stochastic processes, e.g. mathematical physics, economics. The emphasis is on methods, rather than generality. After a first introductory chapter, each of the subsequent ones introduces a new method or idea, e.g. stochastic integration, local times, excursions, weak convergence, and describes its appications to Brownian motion; some of these appear for the first time in book form. One of the important features of the book is the large number of exercises which, at the same time, give additional results and will help the reader master the subject more easily
Exercises in probability : a guided tour from measure theory to random processes, via conditioning by L Chaumont( Book )

38 editions published between 2003 and 2012 in English and held by 537 WorldCat member libraries worldwide

"Derived from extensive teaching experience in Paris, this book presents around 100 exercises in probability. The exercises cover measure theory and probability, independence and conditioning. Gaussian variables, distributional computations, convergence of random variables, and random processes. For each exercise the authors have provided a detailed solution as well as references for preliminary and further reading. There are also many insightful notes that set the exercises in context." "Students will find these exercises extremely useful for easing the transition between simple and complex probabilistic frameworks. Indeed, many of the exercises here will lead the student on to frontier research topics in probability. Along the way, attention is drawn to a number of traps into which students of probability often fall. This book is ideal for independent study or as the companion to a course in advanced probability theory."--Jacket
Grossissements de filtrations : exemples et applications by Th Jeulin( Book )

21 editions published between 1985 and 2008 in 4 languages and held by 324 WorldCat member libraries worldwide

English summary
Séminaire de probabilités XVI, 1980/81 : supplément: géométrie différentielle stochastique by J Azéma( Book )

40 editions published in 1982 in 3 languages and held by 323 WorldCat member libraries worldwide

Séminaire de probabilités XXVI by J Azéma( Book )

37 editions published between 1991 and 2008 in 4 languages and held by 308 WorldCat member libraries worldwide

Annotation
Ecole d'été de probabilités de Saint-Flour IX-1979 by Peter J Bickel( Book )

23 editions published in 1981 in 3 languages and held by 286 WorldCat member libraries worldwide

Random times and enlargements of filtrations in a Brownian setting by Roger Mansuy( Book )

19 editions published between 2005 and 2006 in English and held by 279 WorldCat member libraries worldwide

In November 2004, M. Yor and R. Mansuy jointly gave six lectures at Columbia University, New York. These notes follow the contents of that course, covering expansion of filtration formulae; BDG inequalities up to any random time; martingales that vanish on the zero set of Brownian motion; the Azéma-Emery martingales and chaos representation; the filtration of truncated Brownian motion; attempts to characterize the Brownian filtration. The book accordingly sets out to acquaint its readers with the theory and main examples of enlargements of filtrations, of either the initial or the progressive kind. It is accessible to researchers and graduate students working in stochastic calculus and excursion theory, and more broadly to mathematicians acquainted with the basics of Brownian motion
Séminaire de probabilités 1967-1980 : a selection in Martingale theory by Séminaire de probabilités( Book )

17 editions published between 2002 and 2006 in French and English and held by 279 WorldCat member libraries worldwide

Annotation
Séminaire de probabilités XIX, 1983/84 : proceedings by Séminaire de probabilités( Book )

40 editions published between 1980 and 2008 in 5 languages and held by 259 WorldCat member libraries worldwide

Séminaire de probabilités XVIII, 1982/83 : proceedings by J Azéma( Book )

21 editions published in 1984 in 3 languages and held by 235 WorldCat member libraries worldwide

Séminaire de probabilités XXX by J Azéma( Book )

17 editions published between 1995 and 1996 in 4 languages and held by 219 WorldCat member libraries worldwide

The volume consists entirely of research papers, principally in stochastic calculus, martingales, and Brownian motion, and gathers an important part of the works done in the main probability groups in France (Paris, Strasbourg, Toulouse, Besanon, Grenoble ...) together with closely related works done by some probabilists elsewhere (Switzerland, India, Austria ...)
Séminaire de probabilités XVII, 1981/82 : proceedings by J Azéma( Book )

22 editions published between 1983 and 1996 in 4 languages and held by 202 WorldCat member libraries worldwide

Mathematical methods for financial markets by Monique Jeanblanc-Picqué( Book )

27 editions published between 2009 and 2013 in English and Undetermined and held by 188 WorldCat member libraries worldwide

Stochastic processes of common use in mathematical finance are presented throughout this book, which consists of 11 chapters, interlacing on the one hand financial concepts and instruments, and on the other hand, Brownian motion, diffusion processes, Lvy processes, together with the basic properties of these processes
In memoriam : Paul-Andre Meyer : Séminaire de probabilités XXXIX by Michel Emery( Book )

22 editions published in 2006 in English and French and held by 188 WorldCat member libraries worldwide

The 39th volume of Séminaire de Probabilités is a tribute to the memory of Paul André Meyer. His life and achievements are recalled; homages are rendered by his friends and colleagues. This volume also contains mathematical contributions to classical and quantum stochastic calculus, the theory of processes, martingales and their applications to mathematical finance, Brownian motion. They provide an overview on the current trends of stochastic calculus
Aspects of Brownian motion by Roger Mansuy( Book )

18 editions published between 2007 and 2008 in English and held by 176 WorldCat member libraries worldwide

Stochastic calculus and excursion theory are very efficient tools to obtain either exact or asymptotic results about Brownian motion and related processes. The emphasis of this text is on special classes of Brownian functions like Brownian quadratic functionals and Brownian local times
Penalising Brownian paths by Bernard Roynette( Book )

17 editions published in 2009 in English and held by 169 WorldCat member libraries worldwide

Annotation
Séminaire de probabilités XXXVIII by Michel Emery( Book )

22 editions published between 2004 and 2005 in 3 languages and held by 154 WorldCat member libraries worldwide

Annotation
Local times and excursion theory for Brownian motion : a tale of Wiener and Itô measures by Ju-Yi Yen( Book )

16 editions published in 2013 in English and Undetermined and held by 146 WorldCat member libraries worldwide

This monograph discusses the existence and regularity properties of local times associated to a continuous semimartingale, as well as excursion theory for Brownian paths. Realizations of Brownian excursion processes may be translated in terms of the realizations of a Wiener process under certain conditions. With this aim in mind, the monograph presents applications to topics which are not usually treated with the same tools, e.g.: arc sine law, laws of functionals of Brownian motion, and the Feynman-Kac formula
Option prices as probabilities : a new look at generalized Black-Scholes formulae by Christophe Profeta( Book )

16 editions published in 2010 in English and held by 125 WorldCat member libraries worldwide

The Black-Scholes formula plays a central role in Mathematical Finance; it gives the right price at which buyer and seller can agree with, in the geometric Brownian framework, when strike K and maturity T are given. This yields an explicit well-known formula, obtained by Black and Scholes in 1973. The present volume gives another representation of this formula in terms of Brownian last passages times, which, to our knowledge, has never been made in this sense. The volume is devoted to various extensions and discussions of features and quantities stemming from the last passages times representation in the Brownian case such as: past-future martingales, last passage times up to a finite horizon, pseudo-inverses of processes ... They are developed in eight chapters, with complements, appendices and exercises
Aspects of mathematical finance by Marc Yor( Book )

15 editions published between 2008 and 2010 in English and held by 111 WorldCat member libraries worldwide

"Considering the stupendous gain in importance, in the banking and insurance industries since the early 1990s, of mathematical methodology, especially probabilistic methodology, it was a very natural idea for the French "Academie des Sciences" to propose a series of public lectures, accessible to an educated audience, to promote a wider understanding for some of the fundamental ideas, techniques and new tools of the financial industries." "These lectures were given at the "Academie des Science" in Paris by experts in mathematical finance, and later written up for this volume which develops topics such as risk measures, the notion of arbitrage, dynamic models involving fundamental stochastic processes like Brownian motion and Levy processes."--Jacket
 
moreShow More Titles
fewerShow Fewer Titles
Audience Level
0
Audience Level
1
  Kids General Special  
Audience level: 0.67 (from 0.52 for Option pri ... to 0.74 for Séminaire ...)

WorldCat IdentitiesRelated Identities
Continuous martingales and Brownian motion
Alternative Names
Marc Yor Frans wiskundige (1949-2014)

Marc Yor fransk matematikar

Marc Yor fransk matematiker

Marc Yor französischer Mathematiker

Marc Yor French mathematician

Marc Yor matemático francés

Marc Yor mathématicien français

Marcus Yor

Yor, M.

Yor, M. 1949-2014

Yor, M. (Marc)

Yor, Marc

Yor, Marc Jean

马克·约尔

Languages
Covers
Exercises in probability : a guided tour from measure theory to random processes, via conditioningGrossissements de filtrations : exemples et applicationsSéminaire de probabilités XVI, 1980/81 : supplément: géométrie différentielle stochastiqueSéminaire de probabilités XXVIEcole d'été de probabilités de Saint-Flour IX-1979Random times and enlargements of filtrations in a Brownian settingSéminaire de probabilités 1967-1980 : a selection in Martingale theorySéminaire de probabilités XIX, 1983/84 : proceedings