Séminaire de Probabilités

Séminaire de Probabilités XL

Editors: Donati-Martin, C., Émery, M., Rouault, A., Stricker, C. (Eds.)

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About this book

Two noteworthy features of the 40th volume of the Séminaire de Probabilités are L. Coutin’s advanced course on calculus driven by fractional Brownian motion, and a series of seven interrelated works on local time-space calculus. Other topics from stochastic processes and stochastic finance include three contributions by A.S. Cherny on general approaches to arbitrage pricing.

Table of contents (25 chapters)

  • An Introduction to (Stochastic) Calculus with Respect to Fractional Brownian Motion

    Coutin, Laure

    Pages 3-65

  • A Change-of-Variable Formula with Local Time on Surfaces

    Peskir, Goran

    Pages 70-96

  • A Note on a Change of Variable Formula with Local Time-Space for Lévy Processes of Bounded Variation

    Kyprianou, Andreas E. (et al.)

    Pages 97-104

  • Integration with Respect to Self-Intersection Local Time of a One-Dimensional Brownian Motion

    Najnudel, Joseph

    Pages 105-116

  • Generalized Itǒ Formulae and Space-Time Lebesgue–Stieltjes Integrals of Local Times

    Elworthy, K. David (et al.)

    Pages 117-136

Buy this book

eBook $69.99
price for USA (gross)
  • ISBN 978-3-540-71189-6
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $99.00
price for USA
  • ISBN 978-3-540-71188-9
  • Free shipping for individuals worldwide
  • This title is currently reprinting. You can pre-order your copy now.
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Bibliographic Information

Bibliographic Information
Book Title
Séminaire de Probabilités XL
Editors
  • Catherine Donati-Martin
  • Michel Émery
  • Alain Rouault
  • Christophe Stricker
Series Title
Séminaire de Probabilités
Series Volume
1899
Copyright
2007
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-540-71189-6
DOI
10.1007/978-3-540-71189-6
Softcover ISBN
978-3-540-71188-9
Series ISSN
0720-8766
Edition Number
1
Number of Pages
XI, 489
Topics