Séminaire de Probabilités XLIII

1. Front Matter

   Pages i-xi

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2. Specialized Course

   1. Front Matter

      Pages 1-1

      PDF

   2. Representation Formulae for the Fractional Brownian Motion

      • Jean Picard

      Pages 3-70

3. Other Contributions

   1. Front Matter

      Pages 71-71

      PDF

   2. Horizontal Diffusion in C ¹ Path Space

      • Marc Arnaudon, Koléhè Abdoulaye Coulibaly, Anton Thalmaier

      Pages 73-94

   3. A Stochastic Calculus Proof of the CLT for the L ² Modulus of Continuity of Local Time

      • Jay Rosen

      Pages 95-104

   4. On a Zero-One Law for the Norm Process of Transient Random Walk

      • Ayako Matsumoto, Kouji Yano

      Pages 105-126

   5. On Standardness and I-cosiness

      • Stéphane Laurent

      Pages 127-186

   6. On Isomorphic Probability Spaces

      • Claude Dellacherie

      Pages 187-189

   7. Cylindrical Wiener Processes

      • Markus Riedle

      Pages 191-214

   8. A Remark on the 1/H-Variation of the Fractional Brownian Motion

      • Maurizio Pratelli

      Pages 215-219

   9. Simulation of a Local Time Fractional Stable Motion

      • Matthieu Marouby

      Pages 221-239

   10. Convergence at First and Second Order of Some Approximations of Stochastic Integrals

       • Blandine Bérard Bergery, Pierre Vallois

       Pages 241-268

   11. Convergence of Multi-Dimensional Quantized SDE’s

       • Gilles Pagès, Afef Sellami

       Pages 269-307

   12. Asymptotic Cramér’s Theorem and Analysis on Wiener Space

       • Ciprian A. Tudor

       Pages 309-325

   13. Moments of the Gaussian Chaos

       • Joseph Lehec

       Pages 327-340

   14. The Lent Particle Method for Marked Point Processes

       • Nicolas Bouleau

       Pages 341-349

   15. Ewens Measures on Compact Groups and Hypergeometric Kernels

       • Paul Bourgade, Ashkan Nikeghbali, Alain Rouault

       Pages 351-377

   16. Discrete Approximation of the Free Fock Space

       • Stéphane Attal, Ion Nechita

       Pages 379-394

   17. Convergence in the Semimartingale Topology and Constrained Portfolios

       • Christoph Czichowsky, Nicholas Westray, Harry Zheng

       Pages 395-412

This is a new volume of the Séminaire de Probabilités which is now in its 43rd year. Following the tradition, this volume contains about 20 original research and survey articles on topics related to stochastic analysis. It contains an advanced course of J. Picard on the representation formulae for fractional Brownian motion. The regular chapters cover a wide range of themes, such as stochastic calculus and stochastic differential equations, stochastic differential geometry, filtrations, analysis on Wiener space, random matrices and free probability, as well as mathematical finance. Some of the contributions were presented at the Journées de Probabilités held in Poitiers in June 2009.

• 60Gxx, 60Hxx, 60Jxx, 60Kxx, 60G22, 60G44, 60H35, 46L54
• fractional Brownian motion
• free probability
• martingale theory
• stochastic differential geometry
• stochastic processes

• Lab. de Probabilités et Modèles Aléatoir, Université Pierre et Marie Curie, Paris Cedex 05, 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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