Séminaire de probabilités XL / ed. by Donati-Martin C., Emery M., Rouault A., Stricker C. - Berlin: Springer, 2007. - 481 p. - (Lecture notes in mathematics; 1899). - ISSN 0720-8766; ISBN 978-3-540-71188-9  Место хранения:   013 | Институт математики СО РАН | Новосибирск | Библиотека

Оглавление / Contents

Part I. Specialized Course An Introduction to (Stochastic) Calculus with Respect to Fractional Brownian Motion Laure Coutin ................................................. 3 Part II. Local Time-Space Calculus A Change-of-Variable Formula with Local Time on Surfaces Goran Peskir ................................................ 69 A Note on a Change of Variable Formula with Local Time-Space for Lévy Processes of Bounded Variation Andreas E. Kyprianou, Budhi A. Surya ........................ 97 Integration with Respect to Self-Intersection Local Time of a One-Dimensional Brownian Motion Joseph Najnudel ............................................ 105 Generalized Ito Formulae and Space-Time Lebesgue—Stieltjes Integrals of Local Times K. David Elworthy, Aubrey Truman and Huaizhong Zhao ........ 117 Local Time-Space Calculus for Reversible Semimartingales Nathalie Eisenbaum ......................................... 137 Elements of Stochastic Calculus via Regularization Francesco Russo and Pierre Vallois ......................... 147 On the Smooth-Fit Property for One-Dimensional Optimal Switching Problem Huyên Pham ................................................. 187 Part III. Other Contributions A Strong Form of Stable Convergence Irene Crimaldi, Giorgio Letta, Luca Pratelli ............... 203 Product of Harmonic Maps is Harmonic: A Stochastic Approach Pedro J. Catuogno1, Paulo R.C. Ruffino2 .................... 227 More Hypercontractive Bounds for Deformed Orthogonal Polynomial Ensembles Michel Ledoux .............................................. 235 No Multiple Collisions for Mutually Repelling Brownian Particles Emmanuel Сéра and Dominique Lépingle ....................... 241 On the Joint Law of the L1 and L2 Norms of a 3-Dimensional Bessel Bridge Larbi Alili, Pierre Patie .................................. 247 Tanaka Formula for Symmetric Lévy Processes Paavo Salminen, Marc Yor ................................... 265 An Excursion-Theoretical Approach to Some Boundary Crossing Problems and the Skorokhod Embedding for Reflected Levy Processes Martijn R. Pistorius ....................................... 287 The Maximality Principle Revisited: On Certain Optimal Stopping Problems Jan Obłój 309 Correlated Processes and the Composition of Generators Nathanaël Enriquez ......................................... 329 Representation of the Martingales for the Brownian Snake Laurent Serlet ............................................. 343 Discrete Sampling of Functionals of Itô Processes Emmanuel Gobet, Stéphane Menozzi ........................... 355 Itô's Integrated Formula for Strict Local Martingales with Jumps Oleksandr Chybiryakov ...................................... 375 Enlargement of Filtrations and Continuous Girsanov-Type Embeddings Stefan Ankirchner, Steffen Dereich, Peter Imkeller ......... 389 On a Lemma by Ansel and Strieker Marzia De Donno and Maurizio Pratelli ...................... 411 General Arbitrage Pricing Model: I — Probability Approach Alexander Cherny ........................................... 415 General Arbitrage Pricing Model: II — Transaction Costs Alexander Cherny ........................................... 447 General Arbitrage Pricing Model: III - Possibility Approach Alexander Cherny ........................................... 463