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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)

Table of contents (25 chapters)
  • An Introduction to (Stochastic) Calculus with Respect to Fractional Brownian Motion

    Pages 3-65

    Coutin, Laure

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

    Pages 70-96

    Peskir, Goran

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

    Pages 97-104

    Kyprianou, Andreas E. (et al.)

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

    Pages 105-116

    Najnudel, Joseph

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

    Pages 117-136

    Elworthy, K. David (et al.)

Buy this book

eBook 58,84 €
price for Spain (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 72,75 €
price for Spain (gross)
  • ISBN 978-3-540-71188-9
  • Free shipping for individuals worldwide
  • Immediate ebook access, if available*, with your print order
  • Usually dispatched within 3 to 5 business days.
  • The final prices may differ from the prices shown due to specifics of VAT rules
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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

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