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024 7 _a10.1007/978-3-540-71189-6
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050 4 _aQA273.A1-274.9
050 4 _aQA274-274.9
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082 0 4 _a519.2
_223
245 1 0 _aSéminaire de Probabilités XL
_h[electronic resource] /
_cedited by Catherine Donati-Martin, Michel Émery, Alain Rouault, Christophe Stricker.
264 1 _aBerlin, Heidelberg :
_bSpringer Berlin Heidelberg,
_c2007.
300 _aXI, 489 p.
_bonline resource.
336 _atext
_btxt
_2rdacontent
337 _acomputer
_bc
_2rdamedia
338 _aonline resource
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347 _atext file
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490 1 _aSéminaire de Probabilités,
_x0720-8766 ;
_v1899
505 0 _aSpecialized Course -- An Introduction to (Stochastic) Calculus with Respect to Fractional Brownian Motion -- Local Time-Space Calculus -- A Change-of-Variable Formula with Local Time on Surfaces -- A Note on a Change of Variable Formula with Local Time-Space for Lévy Processes of Bounded Variation -- Integration with Respect to Self-Intersection Local Time of a One-Dimensional Brownian Motion -- Generalized It? Formulae and Space-Time Lebesgue–Stieltjes Integrals of Local Times -- Local Time-Space Calculus for Reversible Semimartingales -- Elements of Stochastic Calculus via Regularization -- On the Smooth-Fit Property for One-Dimensional Optimal Switching Problem -- Other Contributions -- A Strong Form of Stable Convergence -- Product of Harmonic Maps is Harmonic: A Stochastic Approach -- More Hypercontractive Bounds for Deformed Orthogonal Polynomial Ensembles -- No Multiple Collisions for Mutually Repelling Brownian Particles -- On the Joint Law of the L1 and L2 Norms of a 3-Dimensional Bessel Bridge -- Tanaka Formula for Symmetric Lévy Processes -- An Excursion-Theoretical Approach to Some Boundary Crossing Problems and the Skorokhod Embedding for Reflected Lévy Processes -- The Maximality Principle Revisited: On Certain Optimal Stopping Problems -- Correlated Processes and the Composition of Generators -- Representation of the Martingales for the Brownian Snake -- Discrete Sampling of Functionals of Ito Processes -- Ito's Integrated Formula for Strict Local Martingales with Jumps -- Enlargement of Filtrations and Continuous Girsanov-Type Embeddings -- On a Lemma by Ansel and Stricker -- General Arbitrage Pricing Model: I – Probability Approach -- General Arbitrage Pricing Model: II – Transaction Costs -- General Arbitrage Pricing Model: III – Possibility Approach.
520 _aTwo noteworthy features of the 40th volume of the Séminaire de Probabilités are L. Coutin’s advanced course on calculus driven by fractional Brownian motion, and a series of seven interrelated works on local time-space calculus. Other topics from stochastic processes and stochastic finance include three contributions by A.S. Cherny on general approaches to arbitrage pricing.
650 0 _aDistribution (Probability theory.
650 0 _aMathematics.
650 1 4 _aProbability Theory and Stochastic Processes.
_0http://scigraph.springernature.com/things/product-market-codes/M27004
650 2 4 _aGame Theory, Economics, Social and Behav. Sciences.
_0http://scigraph.springernature.com/things/product-market-codes/M13011
700 1 _aDonati-Martin, Catherine.
_eeditor.
_4edt
_4http://id.loc.gov/vocabulary/relators/edt
700 1 _aÉmery, Michel.
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700 1 _aRouault, Alain.
_eeditor.
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700 1 _aStricker, Christophe.
_eeditor.
_4edt
_4http://id.loc.gov/vocabulary/relators/edt
710 2 _aSpringerLink (Online service)
773 0 _tSpringer eBooks
776 0 8 _iPrinted edition:
_z9783540835974
776 0 8 _iPrinted edition:
_z9783540711889
830 0 _aSéminaire de Probabilités,
_x0720-8766 ;
_v1899
856 4 0 _uhttps://doi.org/10.1007/978-3-540-71189-6
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