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_aSéminaire de Probabilités XL _h[electronic resource] / _cedited by Catherine Donati-Martin, Michel Émery, Alain Rouault, Christophe Stricker. |
264 | 1 |
_aBerlin, Heidelberg : _bSpringer Berlin Heidelberg, _c2007. |
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_aXI, 489 p. _bonline resource. |
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_aSéminaire de Probabilités, _x0720-8766 ; _v1899 |
|
505 | 0 | _aSpecialized Course -- An Introduction to (Stochastic) Calculus with Respect to Fractional Brownian Motion -- Local Time-Space Calculus -- A Change-of-Variable Formula with Local Time on Surfaces -- A Note on a Change of Variable Formula with Local Time-Space for Lévy Processes of Bounded Variation -- Integration with Respect to Self-Intersection Local Time of a One-Dimensional Brownian Motion -- Generalized It? Formulae and Space-Time Lebesgue–Stieltjes Integrals of Local Times -- Local Time-Space Calculus for Reversible Semimartingales -- Elements of Stochastic Calculus via Regularization -- On the Smooth-Fit Property for One-Dimensional Optimal Switching Problem -- Other Contributions -- A Strong Form of Stable Convergence -- Product of Harmonic Maps is Harmonic: A Stochastic Approach -- More Hypercontractive Bounds for Deformed Orthogonal Polynomial Ensembles -- No Multiple Collisions for Mutually Repelling Brownian Particles -- On the Joint Law of the L1 and L2 Norms of a 3-Dimensional Bessel Bridge -- Tanaka Formula for Symmetric Lévy Processes -- An Excursion-Theoretical Approach to Some Boundary Crossing Problems and the Skorokhod Embedding for Reflected Lévy Processes -- The Maximality Principle Revisited: On Certain Optimal Stopping Problems -- Correlated Processes and the Composition of Generators -- Representation of the Martingales for the Brownian Snake -- Discrete Sampling of Functionals of Ito Processes -- Ito's Integrated Formula for Strict Local Martingales with Jumps -- Enlargement of Filtrations and Continuous Girsanov-Type Embeddings -- On a Lemma by Ansel and Stricker -- General Arbitrage Pricing Model: I – Probability Approach -- General Arbitrage Pricing Model: II – Transaction Costs -- General Arbitrage Pricing Model: III – Possibility Approach. | |
520 | _aTwo 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. | ||
650 | 0 | _aDistribution (Probability theory. | |
650 | 0 | _aMathematics. | |
650 | 1 | 4 |
_aProbability Theory and Stochastic Processes. _0http://scigraph.springernature.com/things/product-market-codes/M27004 |
650 | 2 | 4 |
_aGame Theory, Economics, Social and Behav. Sciences. _0http://scigraph.springernature.com/things/product-market-codes/M13011 |
700 | 1 |
_aDonati-Martin, Catherine. _eeditor. _4edt _4http://id.loc.gov/vocabulary/relators/edt |
|
700 | 1 |
_aÉmery, Michel. _eeditor. _4edt _4http://id.loc.gov/vocabulary/relators/edt |
|
700 | 1 |
_aRouault, Alain. _eeditor. _4edt _4http://id.loc.gov/vocabulary/relators/edt |
|
700 | 1 |
_aStricker, Christophe. _eeditor. _4edt _4http://id.loc.gov/vocabulary/relators/edt |
|
710 | 2 | _aSpringerLink (Online service) | |
773 | 0 | _tSpringer eBooks | |
776 | 0 | 8 |
_iPrinted edition: _z9783540835974 |
776 | 0 | 8 |
_iPrinted edition: _z9783540711889 |
830 | 0 |
_aSéminaire de Probabilités, _x0720-8766 ; _v1899 |
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856 | 4 | 0 | _uhttps://doi.org/10.1007/978-3-540-71189-6 |
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