WorldCat Identities

Yor, Marc

Overview
Works: 264 works in 1,153 publications in 4 languages and 17,316 library holdings
Genres: Conference papers and proceedings  History  Textbooks 
Roles: Author, Editor, Thesis advisor, Other, Honoree, Opponent, Narrator, Creator, Interviewee, 958, Dedicatee, 956
Classifications: QA3, 519.2
Publication Timeline
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Most widely held works by Marc Yor
Continuous martingales and Brownian motion by D Revuz( Book )

69 editions published between 1981 and 2005 in English and held by 1,255 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( )

39 editions published between 2003 and 2012 in English and held by 972 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 708 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
In memoriam : Paul-Andre Meyer : Séminaire de probabilités XXXIX by Séminaire de probabilités( )

27 editions published in 2006 in English and French and held by 598 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
Séminaire de probabilités XVI, 1980/81 : supplément: géométrie différentielle stochastique by J Azéma( Book )

41 editions published in 1982 in 3 languages and held by 584 WorldCat member libraries worldwide

Penalising Brownian paths by Bernard Roynette( )

17 editions published in 2009 in English and Undetermined and held by 580 WorldCat member libraries worldwide

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

28 editions published between 2005 and 2013 in English and held by 570 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 556 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( )

26 editions published between 1978 and 2005 in 3 languages and held by 542 WorldCat member libraries worldwide

Annotation
Grossissements de filtrations : exemples et applications by Th Jeulin( Book )

23 editions published between 1985 and 2008 in 4 languages and held by 526 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 517 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( )

15 editions published in 2010 in English and held by 489 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 ever been made in this sense. The volume is devoted to various extensions and discussions of features and quantities stemming from the last passages times representati
Local times and excursion theory for Brownian motion : a tale of Wiener and Itô measures by Ju-Yi Yen( )

17 editions published in 2013 in English and held by 463 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 1967-1980 : a selection in Martingale theory by Michel Emery( Book )

20 editions published between 2002 and 2006 in French and English and held by 429 WorldCat member libraries worldwide

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

27 editions published between 1981 and 2008 in 3 languages and held by 410 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 363 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 1991-92), 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, - Burkholder-Gundy inequalities up to any random time, - martingales which 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 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 real-valued 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
Séminaire de probabilités XXX by J Azéma( )

18 editions published between 1995 and 1996 in 4 languages and held by 356 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 XXV by J Azéma( )

20 editions published in 1991 in 5 languages and held by 350 WorldCat member libraries worldwide

Séminaire de probabilités XXIX by J Azéma( )

19 editions published between 1993 and 2008 in 4 languages and held by 339 WorldCat member libraries worldwide

Annotation
Séminaire de probabilités XXII by J Azéma( )

20 editions published in 1988 in 4 languages and held by 332 WorldCat member libraries worldwide

 
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WorldCat IdentitiesRelated Identities
Random times and enlargements of filtrations in a Brownian setting
Covers
Exercises in probability : a guided tour from measure theory to random processes, via conditioningRandom times and enlargements of filtrations in a Brownian settingIn memoriam : Paul-Andre Meyer : Séminaire de probabilités XXXIXSéminaire de probabilités XVI, 1980/81 : supplément: géométrie différentielle stochastiquePenalising Brownian pathsMathematical methods for financial marketsAspects of Brownian motionSéminaire de probabilités XXXVIII
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

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