Book Volume 1857 2005

Séminaire de Probabilités XXXVIII

Editors:

ISBN: 978-3-540-23973-4 (Print) 978-3-540-31449-3 (Online)

Table of contents (24 chapters)

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  1. Front Matter

    Pages -

  2. Chapter

    Pages 1-4

    Tanaka’s Construction for Random Walks and Lévy Processes

  3. Chapter

    Pages 5-15

    Some Excursion Calculations for Spectrally One-sided Lévy Processes

  4. Chapter

    Pages 16-29

    A Martingale Review of some Fluctuation Theory for Spectrally Negative Lévy Processes

  5. Chapter

    Pages 30-41

    A Potential-theoretical Review of some Exit Problems of Spectrally Negative Lévy Processes

  6. Chapter

    Pages 42-69

    Some Martingales Associated to Reflected Lévy Processes

  7. Chapter

    Pages 70-94

    Generalised Ornstein-Uhlenbeck Processes and the Convergence of Lévy Integrals

  8. Chapter

    Pages 95-123

    Spectral Gap for log-Concave Probability Measures on the Real Line

  9. Chapter

    Pages 124-134

    Propriété de Choquet-Deny et fonctions harmoniques sur les hypergroupes commutatifs

  10. Chapter

    Pages 135-144

    Exponential Decay Parameters Associated with Excessive Measures

  11. Chapter

    Pages 145-157

    Positive Bilinear Mappings Associated with Stochastic Processes

  12. Chapter

    Pages 158-164

    An Almost Sure Approximation for the Predictable Process in the Doob-Meyer Decomposition Theorem

  13. Chapter

    Pages 165-185

    On Stochastic Integrals up to Infinity and Predictable Criteria for Integrability

  14. Chapter

    Pages 186-194

    Remarks on the true No-arbitrage Property

  15. Chapter

    Pages 195-204

    Information-equivalence: On Filtrations Created by Independent Increments

  16. Chapter

    Pages 205-225

    Rotations and Tangent Processes on Wiener Space

  17. Chapter

    Pages 226-246

    L p Multiplier Theorem for the Hodge-Kodaira Operator

  18. Chapter

    Pages 247-262

    Gaussian Limits for Vector-valued Multiple Stochastic Integrals

  19. Chapter

    Pages 263-281

    Derivatives of Self-intersection Local Times

  20. Chapter

    Pages 282-289

    On Squared Fractional Brownian Motions

  21. Chapter

    Pages 290-312

    Regularity and Identification of Generalized Multifractional Gaussian Processes

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