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Séminaire de Probabilités XXXVII

  • Editors
  • Jacques Azéma
  • Michel Émery
  • Michel Ledoux
  • Marc Yor

Part of the Lecture Notes in Mathematics book series (LNM, volume 1832)

Table of contents

  1. Front Matter
    Pages I-XIV
  2. Antoine Lejay
    Pages 1-59
  3. Thomas S. Mountford
    Pages 196-215
  4. Grégory Miermont, Jason Schweinsberg
    Pages 333-359
  5. Ioanid Rosu, Dan Stroock
    Pages 399-414
  6. Pierre Del Moral, Arnaud Doucet
    Pages 415-446
  7. Back Matter
    Pages 47-48

About this book

Introduction

The 37th Séminaire de Probabilités contains A. Lejay's advanced course which is a pedagogical introduction to works by T. Lyons and others on stochastic integrals and SDEs driven by deterministic rough paths. The rest of the volume consists of various articles on topics familiar to regular readers of the Séminaires, including Brownian motion, random environment or scenery, PDEs and SDEs, random matrices and financial random processes.

Keywords

Black-Scholes Brownian motion Gaussian measure Martingale diffusion process local martingale local time probability rough path stochastic process

Bibliographic information

  • DOI https://doi.org/10.1007/b94376
  • Copyright Information Springer-Verlag Berlin Heidelberg 2003
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Springer Book Archive
  • Print ISBN 978-3-540-20520-3
  • Online ISBN 978-3-540-40004-2
  • Series Print ISSN 0075-8434
  • Series Online ISSN 1617-9692
  • Buy this book on publisher's site
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