Yor, Marc
Overview
Works:  316 works in 1,202 publications in 5 languages and 17,902 library holdings 

Genres:  Conference papers and proceedings History Textbooks 
Roles:  Editor, Author, Thesis advisor, Other, Honoree, Opponent, Narrator, Creator, 958, Dedicatee, Interviewee, 956 
Classifications:  QA3, 519.2 
Publication Timeline
.
Most widely held works by
Marc Yor
Continuous martingales and Brownian motion by
D Revuz(
Book
)
44 editions published between 1981 and 2005 in English and held by 1,192 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
44 editions published between 1981 and 2005 in English and held by 1,192 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
Exercises in probability : a guided tour from measure theory to random processes, via conditioning by
L Chaumont(
)
35 editions published between 2003 and 2012 in English and held by 988 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
35 editions published between 2003 and 2012 in English and held by 988 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
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 713 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 AzémaEmery 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
22 editions published between 2005 and 2006 in English and held by 713 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 AzémaEmery 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
In memoriam : PaulAndre Meyer : Séminaire de probabilités XXXIX by
Séminaire de probabilités(
)
28 editions published in 2006 in 3 languages and held by 604 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
28 editions published in 2006 in 3 languages and held by 604 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
Penalising Brownian paths by
Bernard Roynette(
)
19 editions published in 2009 in English and Undetermined and held by 591 WorldCat member libraries worldwide
Annotation
19 editions published in 2009 in English and Undetermined and held by 591 WorldCat member libraries worldwide
Annotation
Mathematical methods for financial markets by
Monique JeanblancPicqué(
)
29 editions published between 2005 and 2013 in English and held by 583 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
29 editions published between 2005 and 2013 in English and held by 583 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
Aspects of Brownian motion by
Roger Mansuy(
)
20 editions published between 2007 and 2008 in English and held by 562 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
20 editions published between 2007 and 2008 in English and held by 562 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 XVI, 1980/81 : supplément: géométrie différentielle stochastique by
J Azéma(
)
31 editions published in 1982 in 3 languages and held by 541 WorldCat member libraries worldwide
31 editions published in 1982 in 3 languages and held by 541 WorldCat member libraries worldwide
Séminaire de probabilités XXXVIII by
Michel Emery(
)
21 editions published between 2004 and 2005 in 3 languages and held by 538 WorldCat member libraries worldwide
Besides a series of six articles on Lévy processes, Volume 38 of the Séminaire de Probabilités 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
21 editions published between 2004 and 2005 in 3 languages and held by 538 WorldCat member libraries worldwide
Besides a series of six articles on Lévy processes, Volume 38 of the Séminaire de Probabilités 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
Grossissements de filtrations : exemples et applications by
Th Jeulin(
Book
)
23 editions published between 1985 and 2008 in 4 languages and held by 534 WorldCat member libraries worldwide
English summary
23 editions published between 1985 and 2008 in 4 languages and held by 534 WorldCat member libraries worldwide
English summary
Aspects of mathematical finance by
Marc Yor(
)
16 editions published between 2008 and 2010 in English and held by 516 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."BOOK JACKET
16 editions published between 2008 and 2010 in English and held by 516 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."BOOK JACKET
Option prices as probabilities : a new look at generalized BlackScholes formulae by
Christophe Profeta(
)
18 editions published in 2010 in English and held by 515 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
18 editions published in 2010 in English and held by 515 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
Local times and excursion theory for Brownian motion : a tale of Wiener and Itô measures by
JuYi Yen(
)
17 editions published in 2013 in English and held by 475 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
17 editions published in 2013 in English and held by 475 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
Séminaire de probabilités 19671980 : a selection in Martingale theory by
Michel Emery(
Book
)
19 editions published between 2002 and 2006 in French and English and held by 436 WorldCat member libraries worldwide
Annotation
19 editions published between 2002 and 2006 in French and English and held by 436 WorldCat member libraries worldwide
Annotation
Ecole d'été de probabilités de SaintFlour IX1979 by
Peter J Bickel(
Book
)
26 editions published between 1981 and 2008 in 3 languages and held by 423 WorldCat member libraries worldwide
26 editions published between 1981 and 2008 in 3 languages and held by 423 WorldCat member libraries worldwide
Some aspects of Brownian motion by
Marc Yor(
Book
)
33 editions published between 1992 and 1997 in English and held by 381 WorldCat member libraries worldwide
These notes represent approximately the second half of lectures given by the author at ETH in a Nachdiplom course (winter term 199192), followed by six lectures in November and December 1993. They are organized in nine chapters, six of which are devoted to  expansion of filtration formulae,  BurkholderGundy inequalities up to any random time,  martingales which vanish on the zero set of Brownian motion,  the AzémaEmery martingales and chaos representation,  the filtration of truncated Brownian motion,  attempts to characterize the Brownian filtration. The three remaining chapters concern principal value of diffusion local times, probabilistic representations of the Riemann zeta function, and progress made on some topics discussed in Part I. Most of the contents of this book are the objects of active research, centered on realvalued martingales and Brownian motion. This volume may be of interest to researchers either in probability theory or in more applied fields, such as mathematical finance
33 editions published between 1992 and 1997 in English and held by 381 WorldCat member libraries worldwide
These notes represent approximately the second half of lectures given by the author at ETH in a Nachdiplom course (winter term 199192), followed by six lectures in November and December 1993. They are organized in nine chapters, six of which are devoted to  expansion of filtration formulae,  BurkholderGundy inequalities up to any random time,  martingales which vanish on the zero set of Brownian motion,  the AzémaEmery martingales and chaos representation,  the filtration of truncated Brownian motion,  attempts to characterize the Brownian filtration. The three remaining chapters concern principal value of diffusion local times, probabilistic representations of the Riemann zeta function, and progress made on some topics discussed in Part I. Most of the contents of this book are the objects of active research, centered on realvalued martingales and Brownian motion. This volume may be of interest to researchers either in probability theory or in more applied fields, such as mathematical finance
Exponential functionals of Brownian motion and related processes by
Marc Yor(
Book
)
12 editions published in 2001 in English and held by 324 WorldCat member libraries worldwide
This volume collects papers about the laws of geometric Brownian motions and their timeintegrals, written by the author and coauthors between 1988 and 1998. These functionals play an important role in Mathematical Finance, as well as in (probabilistic) studies related to hyperbolic geometry, and also to random media. Throughout the volume, connections with more recent studies involving exponential functionals of Lévy processes are indicated. Some papers originally published in French are made available in English for the first time
12 editions published in 2001 in English and held by 324 WorldCat member libraries worldwide
This volume collects papers about the laws of geometric Brownian motions and their timeintegrals, written by the author and coauthors between 1988 and 1998. These functionals play an important role in Mathematical Finance, as well as in (probabilistic) studies related to hyperbolic geometry, and also to random media. Throughout the volume, connections with more recent studies involving exponential functionals of Lévy processes are indicated. Some papers originally published in French are made available in English for the first time
Séminaire de probabilités XXI by
J Azéma(
Book
)
21 editions published between 1980 and 1988 in 4 languages and held by 322 WorldCat member libraries worldwide
21 editions published between 1980 and 1988 in 4 languages and held by 322 WorldCat member libraries worldwide
Séminaire de probabilités XIX, 1983/84 : proceedings by
J Azéma(
Book
)
18 editions published between 1985 and 2008 in 4 languages and held by 321 WorldCat member libraries worldwide
18 editions published between 1985 and 2008 in 4 languages and held by 321 WorldCat member libraries worldwide
Séminaire de probabilités XXVIII by
J Azéma(
)
19 editions published between 1994 and 2008 in 3 languages and held by 319 WorldCat member libraries worldwide
Annotation
19 editions published between 1994 and 2008 in 3 languages and held by 319 WorldCat member libraries worldwide
Annotation
more
fewer
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Related Identities
 Azéma, J. Other Author Editor
 Meyer, Paul André Other Opponent Honoree Author Editor
 Emery, Michel 1949 Other Author Editor
 Revuz, D. Author
 Mansuy, Roger Author
 Roynette, Bernard Other Author
 Chaumont, L. (Loïc) Author
 Ledoux, Michel 1958 Other Editor
 JeanblancPicqué, Monique 1947 Author
 Chesney, Marc Author
Useful Links
Associated Subjects
Banks and banking Brownian motion processes Brownian movements Business mathematics Distribution (Probability theory) Filters (Mathematics) Finance FinanceMathematical models Fluctuations (Physics) Geometry, Differential Inequalities (Mathematics) InvestmentsMathematics Lévy processes Local times (Stochastic processes) Markov processes Martingales (Mathematics) Mathematical physics Mathematics Potential theory (Mathematics) Probabilities Random matrices Random walks (Mathematics) Stochastic analysis Stochastic differential equations Stochastic integrals Stochastic processes
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Alternative Names
Marc Yor Frans wiskundige (19492014)
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. 19492014
Yor, M. (Marc)
Yor, Marc
Yor, Marc Jean
马克·约尔
Languages