Séminaire de Probabilités XLIV

Séminaire de Probabilités XLIV PDF

Author: Catherine Donati-Martin

Publisher: Springer

Published: 2012-05-12

Total Pages: 466

ISBN-13: 3642274617

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As usual, some of the contributions to this 44th Séminaire de Probabilités were presented during the Journées de Probabilités held in Dijon in June 2010. The remainder were spontaneous submissions or were solicited by the editors. The traditional and historical themes of the Séminaire are covered, such as stochastic calculus, local times and excursions, and martingales. Some subjects already touched on in the previous volumes are still here: free probability, rough paths, limit theorems for general processes (here fractional Brownian motion and polymers), and large deviations. Lastly, this volume explores new topics, including variable length Markov chains and peacocks. We hope that the whole volume is a good sample of the main streams of current research on probability and stochastic processes, in particular those active in France.

Séminaire de Probabilités XLV

Séminaire de Probabilités XLV PDF

Author: Catherine Donati-Martin

Publisher: Springer

Published: 2013-07-19

Total Pages: 558

ISBN-13: 3319003216

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The series of advanced courses initiated in Séminaire de Probabilités XXXIII continues with a course by Ivan Nourdin on Gaussian approximations using Malliavin calculus. The Séminaire also occasionally publishes a series of contributions on a unifying subject; in this spirit, selected participants to the September 2011 Conference on Stochastic Filtrations, held in Strasbourg and organized by Michel Émery, have also contributed to the present volume. The rest of the work covers a wide range of topics, such as stochastic calculus and Markov processes, random matrices and free probability, and combinatorial optimization.

Séminaire de Probabilités XLVI

Séminaire de Probabilités XLVI PDF

Author: Catherine Donati-Martin

Publisher: Springer

Published: 2014-12-29

Total Pages: 511

ISBN-13: 3319119702

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Providing a broad overview of the current state of the art in probability theory and its applications, and featuring an article coauthored by Mark Yor, this volume contains contributions on branching processes, Lévy processes, random walks and martingales and their connection with, among other topics, rough paths, semi-groups, heat kernel asymptotics and mathematical finance.

In Memoriam Marc Yor - Séminaire de Probabilités XLVII

In Memoriam Marc Yor - Séminaire de Probabilités XLVII PDF

Author: Catherine Donati-Martin

Publisher: Springer

Published: 2015-09-07

Total Pages: 619

ISBN-13: 3319185853

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This volume is dedicated to the memory of Marc Yor, who passed away in 2014. The invited contributions by his collaborators and former students bear testament to the value and diversity of his work and of his research focus, which covered broad areas of probability theory. The volume also provides personal recollections about him, and an article on his essential role concerning the Doeblin documents. With contributions by P. Salminen, J-Y. Yen & M. Yor; J. Warren; T. Funaki; J. Pitman& W. Tang; J-F. Le Gall; L. Alili, P. Graczyk & T. Zak; K. Yano & Y. Yano; D. Bakry & O. Zribi; A. Aksamit, T. Choulli & M. Jeanblanc; J. Pitman; J. Obloj, P. Spoida & N. Touzi; P. Biane; J. Najnudel; P. Fitzsimmons, Y. Le Jan & J. Rosen; L.C.G. Rogers & M. Duembgen; E. Azmoodeh, G. Peccati & G. Poly, timP-L Méliot, A. Nikeghbali; P. Baldi; N. Demni, A. Rouault & M. Zani; N. O'Connell; N. Ikeda & H. Matsumoto; A. Comtet & Y. Tourigny; P. Bougerol; L. Chaumont; L. Devroye & G. Letac; D. Stroock and M. Emery.

Séminaire de Probabilités XLIX

Séminaire de Probabilités XLIX PDF

Author: Catherine Donati-Martin

Publisher: Springer

Published: 2018-08-07

Total Pages: 544

ISBN-13: 3319924206

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This 49th volume offers a good sample of the main streams of current research on probability and stochastic processes, in particular those active in France. This includes articles on latest developments on diffusion processes, large deviations, martingale theory, quasi-stationary distribution, random matrices, and many more. All the contributions come from spontaneous submissions and their diversity illustrates the good health of this branch of mathematics. The featured contributors are E. Boissard, F. Bouguet, J. Brossard, M. Capitaine, P. Cattiaux, N. Champagnat, K. Abdoulaye Coulibaly-Pasquier, H. Elad Altman, A. Guillin, P. Kratz, A. Lejay, C. Leuridan, P. McGill, L. Miclo, G. Pagès, E. Pardoux, P. Petit, B. Rajeev, L. Serlet, H. Tsukada, D. Villeomannais and B. Wilbertz.

Peacocks and Associated Martingales, with Explicit Constructions

Peacocks and Associated Martingales, with Explicit Constructions PDF

Author: Francis Hirsch

Publisher: Springer Science & Business Media

Published: 2011-05-24

Total Pages: 412

ISBN-13: 8847019087

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We call peacock an integrable process which is increasing in the convex order; such a notion plays an important role in Mathematical Finance. A deep theorem due to Kellerer states that a process is a peacock if and only if it has the same one-dimensional marginals as a martingale. Such a martingale is then said to be associated to this peacock. In this monograph, we exhibit numerous examples of peacocks and associated martingales with the help of different methods: construction of sheets, time reversal, time inversion, self-decomposability, SDE, Skorokhod embeddings. They are developed in eight chapters, with about a hundred of exercises.

Advances in Mathematics and Applications

Advances in Mathematics and Applications PDF

Author: Carlile Lavor

Publisher: Springer

Published: 2018-09-07

Total Pages: 407

ISBN-13: 3319940155

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This book celebrates the 50th anniversary of the Institute of Mathematics, Statistics and Scientific Computing (IMECC) of the University of Campinas, Brazil, by offering reviews of selected research developed at one of the most prestigious mathematics institutes in Latin America. Written by senior professors at the IMECC, it covers topics in pure and applied mathematics and statistics ranging from differential geometry, dynamical systems, Lie groups, and partial differential equations to computational optimization, mathematical physics, stochastic process, time series, and more. A report on the challenges and opportunities of research in applied mathematics - a highly active field of research in the country - and highlights of the Institute since its foundation in 1968 completes this historical volume, which is unveiled in the same year that the International Mathematical Union (IMU) names Brazil as a member of the Group V of countries with the most relevant contributions in mathematics.

Statistical Topics and Stochastic Models for Dependent Data with Applications

Statistical Topics and Stochastic Models for Dependent Data with Applications PDF

Author: Vlad Stefan Barbu

Publisher: John Wiley & Sons

Published: 2020-12-03

Total Pages: 288

ISBN-13: 1786306034

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This book is a collective volume authored by leading scientists in the field of stochastic modelling, associated statistical topics and corresponding applications. The main classes of stochastic processes for dependent data investigated throughout this book are Markov, semi-Markov, autoregressive and piecewise deterministic Markov models. The material is divided into three parts corresponding to: (i) Markov and semi-Markov processes, (ii) autoregressive processes and (iii) techniques based on divergence measures and entropies. A special attention is payed to applications in reliability, survival analysis and related fields.

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