Book Volume 1832 2003

Séminaire de Probabilités XXXVII

Editors:

ISBN: 978-3-540-20520-3 (Print) 978-3-540-40004-2 (Online)

Table of contents (19 chapters)

  1. Front Matter

    Pages I-XIV

  2. No Access

    Chapter

    Pages 1-59

    An Introduction to Rough Paths

  3. No Access

    Chapter

    Pages 60-80

    Characterization of Markov semigroups on ℝ Associated to Some Families of Orthogonal Polynomials

  4. No Access

    Chapter

    Pages 81-89

    Representations of Gaussian measures that are equivalent to Wiener measure

  5. No Access

    Chapter

    Pages 90-93

    On the reduction of a multidimensional continuous martingale to a Brownian motion

  6. No Access

    Chapter

    Pages 94-108

    The time to a given drawdown in Brownian Motion

  7. No Access

    Chapter

    Pages 109-195

    Application de la théorie des excursions à l’intégrale du mouvement brownien

  8. No Access

    Chapter

    Pages 196-215

    Brownian Sheet Local Time and Bubbles

  9. No Access

    Chapter

    Pages 216-235

    On the maximum of a diffusion process in a random Lévy environment

  10. No Access

    Chapter

    Pages 236-245

    The Codimension of the Zeros of a Stable Process in Random Scenery

  11. No Access

    Chapter

    Pages 246-250

    Deux notions équivalentes d’unicité en loi pour les équations différentielles stochastiques

  12. No Access

    Chapter

    Pages 251-289

    Approximations of the Wong–Zakai type for stochastic differential equations in M-type 2 Banach spaces with applications to loop spaces

  13. No Access

    Chapter

    Pages 290-332

    Estimates of the Solutions of a System of Quasi-linear PDEs. A Probabilistic Scheme

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    Chapter

    Pages 333-359

    Self-similar fragmentations and stable subordinators

  15. No Access

    Chapter

    Pages 360-369

    A Remark on Hypercontractivity and Tail Inequalities for the Largest Eigenvalues of Random Matrices

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    Chapter

    Pages 370-384

    A note on representations of eigenvalues of classical Gaussian matrices

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    Chapter

    Pages 385-393

    Necessary and sufficient conditions for the supermartingale property of a stochastic integral with respect to a local martingale

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    Chapter

    Pages 394-398

    A remark on the superhedging theorem under transaction costs

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    Chapter

    Pages 399-414

    On the Derivation of the Black–Scholes Formula

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    Chapter

    Pages 415-446

    On a Class of Genealogical and Interacting Metropolis Models

  21. Back Matter

    Pages 47-48