WorldCat Identities

Yor, Marc

Overview
Works: 210 works in 900 publications in 6 languages and 14,225 library holdings
Genres: Conference proceedings  History 
Roles: Author, Editor, Other, Creator, Interviewee
Classifications: QA3, 519.2
Publication Timeline
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Most widely held works by Marc Yor
Séminaire de probabilités XXXVI by J Azéma( )
93 editions published between 1987 and 2006 in 4 languages and held by 1,416 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, Besançon, Grenoble,...) together with closely related works done by some probabilists elsewhere (Switzerland, India, Austria,...)
Continuous martingales and Brownian motion by D Revuz( Book )
58 editions published between 1981 and 2008 in 3 languages and held by 1,092 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
Random times and enlargements of filtrations in a Brownian setting by Roger Mansuy( )
22 editions published between 2005 and 2006 in English and held by 663 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 Azema-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
Exercises in probability : a guided tour from measure theory to random processes via conditioning by L Chaumont( Book )
30 editions published between 2003 and 2012 in English and held by 570 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, past-future 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"--
In memoriam Paul-Andre Meyer Séminaire de probabilités XXXIX by Michel Emery( )
22 editions published in 2006 in English and held by 531 WorldCat member libraries worldwide
Penalising Brownian paths by Bernard Roynette( )
15 editions published in 2009 in English and held by 528 WorldCat member libraries worldwide
Annotation
Mathematical methods for financial markets by Monique Jeanblanc-Picqué( )
22 editions published between 2005 and 2009 in English and held by 517 WorldCat member libraries worldwide
Mathematical finance has grown into a huge area of research which requires a lot of care and a large number of sophisticated mathematical tools. The subject draws upon quite difficult results from the theory of stochastic processes, stochastic calculus and differential equations, among others, which can be daunting for the beginning researcher. This book simultaneously introduces the financial methodology and the relevant mathematical tools in a style that is mathematically rigorous and yet accessible to practitioners and mathematicians alike. It interlaces financial concepts such as arbitrage opportunities, admissible strategies, contingent claims, option pricing and default risk with the mathematical theory of Brownian motion, diffusion processes, and Lévy processes. The authors proceed by successive generalisations with increasing complexity assuming some basic knowledge of probability theory. The first half of the book is devoted to continuous path processes whereas the second half deals with discontinuous processes. The extensive bibliography comprises a wealth of important references and the author index enables readers quickly to locate where the reference is cited within the book, making this volume an invaluable tool both for students and for those at the forefront of research and practice
Aspects of Brownian motion by Roger Mansuy( )
21 editions published between 2005 and 2008 in English and held by 515 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 XXXVIII by Michel Emery( )
21 editions published between 2004 and 2005 in 3 languages and held by 497 WorldCat member libraries worldwide
Annotation
Aspects of mathematical finance by Marc Yor( )
12 editions published in 2008 in English and held by 472 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
Option prices as probabilities a new look at generalized Black-Scholes formulae by Christophe Profeta( )
14 editions published in 2010 in English and held by 467 WorldCat member libraries worldwide
Grossissements de filtrations : exemples et applications by Th Jeulin( Book )
18 editions published in 1985 in French and German and held by 463 WorldCat member libraries worldwide
English summary
Ecole d'été de probabilités de Saint-Flour IX-1979 by Peter J Bickel( Book )
20 editions published between 1981 and 2008 in 3 languages and held by 394 WorldCat member libraries worldwide
Séminaire de probabilités 1967-1980 : a selection in Martingale theory by Séminaire de probabilités( Book )
16 editions published between 2002 and 2006 in French and English and held by 385 WorldCat member libraries worldwide
Annotation
Local times and excursion theory for Brownian motion a tale of wiener and itô measures by Ju-Yi Yen( )
15 editions published in 2013 in English and Undetermined and held by 337 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
Séminaire de probabilités XIX, 1983/84 : proceedings by J Azéma( Book )
15 editions published in 1985 in 4 languages and held by 318 WorldCat member libraries worldwide
Séminaire de probabilités XVI, 1980/81 : supplément: géométrie différentielle stochastique by J Azéma( )
15 editions published in 1982 in French and English and held by 310 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 300 WorldCat member libraries worldwide
Séminaire de probabilités XVII, 1981/82 : proceedings by J Azéma( Book )
14 editions published in 1983 in French and English and held by 298 WorldCat member libraries worldwide
Séminaire de probabilités XV, 1979/80 : avec table générale des exposés de 1966/67 à 1978/79 by J Azéma( Book )
14 editions published in 1981 in French and English and held by 279 WorldCat member libraries worldwide
 
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Audience level: 0.75 (from 0.67 for Mathematic ... to 0.87 for Séminaire ...)
WorldCat IdentitiesRelated Identities
Alternative Names
Yor, M.
Yor, M. 1949-2014
Yor, M. (Marc)
Yor, Marc
Yor, Marc Jean
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