Séminaire de Probabilités XLV

1. Front Matter

   Pages i-viii

   PDF

2. Specialized Course

   1. Front Matter

      Pages 1-1

      PDF

   2. Lectures on Gaussian Approximations with Malliavin Calculus

      • Ivan Nourdin

      Pages 3-89

3. Other Contributions

   1. Front Matter

      Pages 91-91

      PDF

   2. Some Sufficient Conditions for the Ergodicity of the Lévy Transformation

      • Vilmos Prokaj

      Pages 93-121

   3. Vershik’s Intermediate Level Standardness Criterion and the Scale of an Automorphism

      • Stéphane Laurent

      Pages 123-139

   4. Filtrations Indexed by Ordinals; Application to a Conjecture of S. Laurent

      • Claude Dellacherie, Michel Émery

      Pages 141-157

   5. A Planar Borel Set Which Divides Every Non-negligible Borel Product

      • Michel Émery

      Pages 159-165

   6. Characterising Ocone Local Martingales with Reflections

      • Jean Brossard, Christophe Leuridan

      Pages 167-180

   7. Approximation and Stability of Solutions of SDEs Driven by a Symmetric α Stable Process with Non-Lipschitz Coefficients

      • Hiroya Hashimoto

      Pages 181-199

   8. Path Properties and Regularity of Affine Processes on General State Spaces

      • Christa Cuchiero, Josef Teichmann

      Pages 201-244

   9. Langevin Process Reflected on a Partially Elastic Boundary II

      • Emmanuel Jacob

      Pages 245-275

   10. Windings of Planar Stable Processes

       • R. A. Doney, S. Vakeroudis

       Pages 277-300

   11. An Elementary Proof that the First Hitting Time of an Open Set by a Jump Process is a Stopping Time

       • Alexander Sokol

       Pages 301-304

   12. Catalytic Branching Processes via Spine Techniques and Renewal Theory

       • Leif Döring, Matthew I. Roberts

       Pages 305-322

   13. Malliavin Calculus and Self Normalized Sums

       • Solesne Bourguin, Ciprian A. Tudor

       Pages 323-351

   14. A Note on Stochastic Calculus in Vector Bundles

       • Pedro J. Catuogno, Diego S. Ledesma, Paulo R. Ruffino

       Pages 353-364

   15. Functional Co-monotony of Processes with Applications to Peacocks and Barrier Options

       • Gilles Pagès

       Pages 365-400

   16. Fluctuations of the Traces of Complex-Valued Random Matrices

       • Salim Noreddine

       Pages 401-431

   17. Functionals of the Brownian Bridge

       • Janosch Ortmann

       Pages 433-458

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.

• 60-XX, 60JXX, 60J60, 60J10, 60J65, 60J55, 46L54
• Malliavin Calculus
• combinatorial optimization
• random matrices
• stochastic calculus
• stochastic filtrations

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