Yor, Marc
Overview
Works:  221 works in 928 publications in 6 languages and 14,632 library holdings 

Genres:  Conference proceedings History 
Roles:  Author, Editor, Other, Creator, Opponent, Thesis advisor, Interviewee, 956 
Classifications:  QA3, 519.2 
Publication Timeline
.
Most widely held works by
Marc Yor
Continuous martingales and Brownian motion by
D Revuz(
Book
)
60 editions published between 1981 and 2008 in 3 languages and held by 1,062 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 semimartingales: 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
60 editions published between 1981 and 2008 in 3 languages and held by 1,062 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 semimartingales: 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
Séminaire de probabilités XXXVI by
J Azéma(
)
54 editions published between 1987 and 2004 in 4 languages and held by 704 WorldCat member libraries worldwide
Annotation
54 editions published between 1987 and 2004 in 4 languages and held by 704 WorldCat member libraries worldwide
Annotation
Exercises in probability : a guided tour from measure theory to random processes via conditioning by
L Chaumont(
Book
)
31 editions published between 2003 and 2012 in English and held by 500 WorldCat member libraries worldwide
"Derived from extensive teaching experience in Paris, this second edition now includes over 100 exercises in probability. New exercises have been added to reflect important areas of current research in probability theory, including infinite divisibility of stochastic processes, pastfuture martingales and fluctuation theory. For each exercise the authors provide detailed solutions as well as references for preliminary and further reading. There are also many insightful notes to motivate the student and set the exercises in context"
31 editions published between 2003 and 2012 in English and held by 500 WorldCat member libraries worldwide
"Derived from extensive teaching experience in Paris, this second edition now includes over 100 exercises in probability. New exercises have been added to reflect important areas of current research in probability theory, including infinite divisibility of stochastic processes, pastfuture martingales and fluctuation theory. For each exercise the authors provide detailed solutions as well as references for preliminary and further reading. There are also many insightful notes to motivate the student and set the exercises in context"
Séminaire de probabilités XXXI by
J Azéma(
Book
)
39 editions published between 1995 and 2006 in 3 languages and held by 419 WorldCat member libraries worldwide
Annotation
39 editions published between 1995 and 2006 in 3 languages and held by 419 WorldCat member libraries worldwide
Annotation
Grossissements de filtrations : exemples et applications by
Th Jeulin(
Book
)
17 editions published in 1985 in French and held by 371 WorldCat member libraries worldwide
English summary
17 editions published in 1985 in French and held by 371 WorldCat member libraries worldwide
English summary
Ecole d'été de probabilités de SaintFlour IX1979 by
Peter J Bickel(
Book
)
24 editions published between 1981 and 2008 in 3 languages and held by 309 WorldCat member libraries worldwide
24 editions published between 1981 and 2008 in 3 languages and held by 309 WorldCat member libraries worldwide
Random times and enlargements of filtrations in a Brownian setting by
Roger Mansuy(
Book
)
21 editions published between 2005 and 2006 in English and held by 278 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 AzemaEmery 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
21 editions published between 2005 and 2006 in English and held by 278 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 AzemaEmery 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 19671980 : a selection in Martingale theory by Séminaire de probabilités(
Book
)
16 editions published between 2002 and 2006 in French and English and held by 274 WorldCat member libraries worldwide
Annotation
16 editions published between 2002 and 2006 in French and English and held by 274 WorldCat member libraries worldwide
Annotation
Séminaire de probabilités XVI, 1980/81 : supplément: géométrie différentielle stochastique by
J Azéma(
Book
)
17 editions published in 1982 in French and English and held by 228 WorldCat member libraries worldwide
17 editions published in 1982 in French and English and held by 228 WorldCat member libraries worldwide
Séminaire de probabilités XIX, 1983/84 : proceedings by
J Azéma(
Book
)
16 editions published in 1985 in 4 languages and held by 225 WorldCat member libraries worldwide
16 editions published in 1985 in 4 languages and held by 225 WorldCat member libraries worldwide
Aspects of Brownian motion by
Roger Mansuy(
Book
)
19 editions published between 2005 and 2008 in English and held by 212 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
19 editions published between 2005 and 2008 in English and held by 212 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
Séminaire de probabilités XVII, 1981/82 : proceedings by
J Azéma(
Book
)
16 editions published in 1983 in French and English and held by 211 WorldCat member libraries worldwide
16 editions published in 1983 in French and English and held by 211 WorldCat member libraries worldwide
Séminaire de probabilités XVIII, 1982/83 : proceedings by
J Azéma(
Book
)
14 editions published in 1984 in French and English and held by 210 WorldCat member libraries worldwide
14 editions published in 1984 in French and English and held by 210 WorldCat member libraries worldwide
In memoriam : PaulAndre Meyer : Séminaire de probabilités XXXIX by
Michel Emery(
Book
)
22 editions published in 2006 in English and held by 191 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
22 editions published in 2006 in English and held by 191 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
Mathematical methods for financial markets by
Monique JeanblancPicqué(
Book
)
21 editions published between 2005 and 2013 in English and held by 171 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
21 editions published between 2005 and 2013 in English and held by 171 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
Penalising Brownian paths by
Bernard Roynette(
Book
)
15 editions published in 2009 in English and held by 163 WorldCat member libraries worldwide
Annotation
15 editions published in 2009 in English and held by 163 WorldCat member libraries worldwide
Annotation
Séminaire de probabilités XXXVIII by
Michel Emery(
Book
)
20 editions published between 2004 and 2005 in 3 languages and held by 155 WorldCat member libraries worldwide
Besides a series of six articles on L∞♭vy processes, Volume 38 of the S∞♭minaire de Probabilit∞♭s contains contributions whose topics range from analysis of semigroups to free probability, via martingale theory, Wiener space and Brownian motion, Gaussian processes and matrices, diffusions and their applications to PDEs. As do all previous volumes of this series, it provides an overview on the current state of the art in the research on stochastic processes
20 editions published between 2004 and 2005 in 3 languages and held by 155 WorldCat member libraries worldwide
Besides a series of six articles on L∞♭vy processes, Volume 38 of the S∞♭minaire de Probabilit∞♭s contains contributions whose topics range from analysis of semigroups to free probability, via martingale theory, Wiener space and Brownian motion, Gaussian processes and matrices, diffusions and their applications to PDEs. As do all previous volumes of this series, it provides an overview on the current state of the art in the research on stochastic processes
Option prices as probabilities : a new look at generalized BlackScholes formulae by
Christophe Profeta(
Book
)
13 editions published in 2010 in English and held by 112 WorldCat member libraries worldwide
The BlackScholes 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 wellknown 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: pastfuture martingales, last passage times up to a finite horizon, pseudoinverses of processes... They are developed in eight chapters, with complements, appendices and exercises
13 editions published in 2010 in English and held by 112 WorldCat member libraries worldwide
The BlackScholes 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 wellknown 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: pastfuture martingales, last passage times up to a finite horizon, pseudoinverses of processes... They are developed in eight chapters, with complements, appendices and exercises
Aspects of mathematical finance by
Marc Yor(
Book
)
11 editions published in 2008 in English and held by 110 WorldCat member libraries worldwide
Considering the stupendous gain in importance, in the banking and insurance industries since the early 1990???s, of mathematical methodology, especially probabilistic methodology, it was a very natural idea for the French "Acad??mie 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 "Acad??mie des Sciences" in Paris by internationally renowned experts in mathematical finance, and lat
11 editions published in 2008 in English and held by 110 WorldCat member libraries worldwide
Considering the stupendous gain in importance, in the banking and insurance industries since the early 1990???s, of mathematical methodology, especially probabilistic methodology, it was a very natural idea for the French "Acad??mie 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 "Acad??mie des Sciences" in Paris by internationally renowned experts in mathematical finance, and lat
Local times and excursion theory for Brownian motion : a tale of Wiener and Ito measures by
JuYi Yen(
Book
)
15 editions published in 2013 in English and Undetermined and held by 40 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 FeynmanKac formula
15 editions published in 2013 in English and Undetermined and held by 40 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 FeynmanKac formula
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Related Identities
 Azéma, J. Author Editor
 Meyer, Paul André Honoree Editor
 Emery, Michel 1949 Other Author Editor
 Mansuy, Roger Author
 Roynette, Bernard Author
 Revuz, D. Author
 Chaumont, L. (Loïc) Author
 JeanblancPicqué, Monique 1947 Author
 Chesney, Marc Author
 Profeta, Christophe Author
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Associated Subjects
Banks and banking Brownian motion processes Business mathematics Distribution (Probability theory) Filters (Mathematics) Finance FinanceMathematical models Fluctuations (Physics) Geometry, Differential Global analysis (Mathematics) Global differential geometry Inequalities (Mathematics) InvestmentsMathematics Lévy processes Local times (Stochastic processes) Markov processes Martingales (Mathematics) Mathematical physics Mathematical statistics Mathematics Probabilities Random matrices Random walks (Mathematics) Stochastic analysis Stochastic differential equations Stochastic integrals Stochastic processes
Alternative Names
Marc Yor fransk matematikar
Marc Yor fransk matematiker
Marc Yor franzsischer Mathematiker
Marc Yor French mathematician
Marcus Yor
Yor, M.
Yor, M. 19492014
Yor, M. (Marc)
Yor, Marc
Yor, Marc Jean
马克约尔
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