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Séminaire de Probabilités XLIII

  • Book
  • © 2011

Overview

Editors:
  1. Catherine Donati-Martin

    1. Lab. de Probabilités et Modèles Aléatoir, Université Pierre et Marie Curie, Paris Cedex 05, France

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  2. Antoine Lejay

    1. IECN, Campus scientifique, BP 239, Nancy-Université, INRIA, Vandoeuvre-lès-Nancy, France

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  3. Alain Rouault

    1. Laboratoire de Mathématiques, Université de Versailles-St-Quentin, Versailles, France

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  • Original research articles
  • Original survey/lecture on a new topic
  • Wide range of topics
  • Includes supplementary material: sn.pub/extras

Part of the book series: Lecture Notes in Mathematics (LNM, volume 2006)

Part of the book sub series: Séminaire de Probabilités (SEMPROBAB)

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Table of contents (21 chapters)

  1. Front Matter

    Pages i-xi
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  2. Specialized Course

    1. Front Matter

      Pages 1-1
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    2. Representation Formulae for the Fractional Brownian Motion

      • Jean Picard
      Pages 3-70

  3. Other Contributions

    1. Front Matter

      Pages 71-71
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    2. Horizontal Diffusion in C 1 Path Space

      • Marc Arnaudon, Koléhè Abdoulaye Coulibaly, Anton Thalmaier
      Pages 73-94

    3. A Stochastic Calculus Proof of the CLT for the L 2 Modulus of Continuity of Local Time

      • Jay Rosen
      Pages 95-104

    4. On a Zero-One Law for the Norm Process of Transient Random Walk

      • Ayako Matsumoto, Kouji Yano
      Pages 105-126

    5. On Standardness and I-cosiness

      • Stéphane Laurent
      Pages 127-186

    6. On Isomorphic Probability Spaces

      • Claude Dellacherie
      Pages 187-189

    7. Cylindrical Wiener Processes

      • Markus Riedle
      Pages 191-214

    8. A Remark on the 1/H-Variation of the Fractional Brownian Motion

      • Maurizio Pratelli
      Pages 215-219

    9. Simulation of a Local Time Fractional Stable Motion

      • Matthieu Marouby
      Pages 221-239

    10. Convergence at First and Second Order of Some Approximations of Stochastic Integrals

      • Blandine Bérard Bergery, Pierre Vallois
      Pages 241-268

    11. Convergence of Multi-Dimensional Quantized SDE’s

      • Gilles Pagès, Afef Sellami
      Pages 269-307

    12. Asymptotic Cramér’s Theorem and Analysis on Wiener Space

      • Ciprian A. Tudor
      Pages 309-325

    13. Moments of the Gaussian Chaos

      • Joseph Lehec
      Pages 327-340

    14. The Lent Particle Method for Marked Point Processes

      • Nicolas Bouleau
      Pages 341-349

    15. Ewens Measures on Compact Groups and Hypergeometric Kernels

      • Paul Bourgade, Ashkan Nikeghbali, Alain Rouault
      Pages 351-377

    16. Discrete Approximation of the Free Fock Space

      • Stéphane Attal, Ion Nechita
      Pages 379-394

    17. Convergence in the Semimartingale Topology and Constrained Portfolios

      • Christoph Czichowsky, Nicholas Westray, Harry Zheng
      Pages 395-412
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Keywords

About this book

This is a new volume of the Séminaire de Probabilités which is now in its 43rd year. Following the tradition, this volume contains about 20 original research and survey articles on topics related to stochastic analysis. It contains an advanced course of J. Picard on the representation formulae for fractional Brownian motion. The regular chapters cover a wide range of themes, such as stochastic calculus and stochastic differential equations, stochastic differential geometry, filtrations, analysis on Wiener space, random matrices and free probability, as well as mathematical finance. Some of the contributions were presented at the Journées de Probabilités held in Poitiers in June 2009.

Editors and Affiliations

  • Lab. de Probabilités et Modèles Aléatoir, Université Pierre et Marie Curie, Paris Cedex 05, France

    Catherine Donati-Martin

  • IECN, Campus scientifique, BP 239, Nancy-Université, INRIA, Vandoeuvre-lès-Nancy, France

    Antoine Lejay

  • Laboratoire de Mathématiques, Université de Versailles-St-Quentin, Versailles, France

    Alain Rouault

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