Book Volume 1899 2007

Séminaire de Probabilités XL

ISBN: 978-3-540-71188-9 (Print) 978-3-540-71189-6 (Online)

Table of contents (25 chapters)

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  1. Front Matter

    Pages I-XI

  2. Specialized Course

    1. Front Matter

      Pages 1-1

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      Chapter

      Pages 3-65

      An Introduction to (Stochastic) Calculus with Respect to Fractional Brownian Motion

  3. Local Time-Space Calculus

    1. Front Matter

      Pages 67-67

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      Chapter

      Pages 70-96

      A Change-of-Variable Formula with Local Time on Surfaces

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      Chapter

      Pages 97-104

      A Note on a Change of Variable Formula with Local Time-Space for Lévy Processes of Bounded Variation

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      Chapter

      Pages 105-116

      Integration with Respect to Self-Intersection Local Time of a One-Dimensional Brownian Motion

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      Chapter

      Pages 117-136

      Generalized Itǒ Formulae and Space-Time Lebesgue–Stieltjes Integrals of Local Times

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      Chapter

      Pages 137-146

      Local Time-Space Calculus for Reversible Semimartingales

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      Chapter

      Pages 147-185

      Elements of Stochastic Calculus via Regularization

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      Chapter

      Pages 187-199

      On the Smooth-Fit Property for One-Dimensional Optimal Switching Problem

  4. Other Contributions

    1. Front Matter

      Pages 201-201

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      Chapter

      Pages 203-225

      A Strong Form of Stable Convergence

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      Chapter

      Pages 227-233

      Product of Harmonic Maps is Harmonic: A Stochastic Approach

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      Chapter

      Pages 235-240

      More Hypercontractive Bounds for Deformed Orthogonal Polynomial Ensembles

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      Chapter

      Pages 241-246

      No Multiple Collisions for Mutually Repelling Brownian Particles

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      Chapter

      Pages 247-264

      On the Joint Law of the L1 and L2 Norms of a 3-Dimensional Bessel Bridge

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      Chapter

      Pages 265-285

      Tanaka Formula for Symmetric Lévy Processes

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      Chapter

      Pages 287-307

      An Excursion-Theoretical Approach to Some Boundary Crossing Problems and the Skorokhod Embedding for Reflected Lévy Processes

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      Chapter

      Pages 309-328

      The Maximality Principle Revisited: On Certain Optimal Stopping Problems

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      Chapter

      Pages 329-342

      Correlated Processes and the Composition of Generators

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      Chapter

      Pages 343-354

      Representation of the Martingales for the Brownian Snake

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      Chapter

      Pages 355-374

      Discrete Sampling of Functionals of Ito Processes

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      Chapter

      Pages 375-388

      Ito's Integrated Formula for Strict Local Martingales with Jumps

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