Azzouz Dermoune, Philippe Heinrich (auth.), Catherine Donati-Martin, Michel Émery, Alain Rouault, Christophe Stricker (eds.)3540779124, 9783540779124
Stochastic processes are as usual the main subject of the Séminaire, with contributions on Brownian motion (fractional or other), Lévy processes, martingales and probabilistic finance. Other probabilistic themes are also present: large random matrices, statistical mechanics. The contributions in this volume provide a sampling of recent results on these topics. All contributions with the exception of two are written in English language.
Table of contents :
Front Matter….Pages I-IX
Spectral gap inequality for a colored disordered lattice gas….Pages 1-18
On large deviations for the spectral measure of discrete Coulomb gas….Pages 19-49
Estimates for moments of random matrices with Gaussian elements….Pages 51-92
Geometric interpretation of the cumulants for random matrices previously defined as convolutions on the symmetric group….Pages 93-119
Fluctuations of spectrally negative Markov additive processes….Pages 121-135
On Continuity Properties of the Law of Integrals of Lévy Processes….Pages 137-159
A Law of the Iterated Logarithm for Fractional Brownian Motions….Pages 161-179
A simple theory for the study of SDEs driven by a fractional Brownian motion, in dimension one….Pages 181-197
Proof of a Tanaka-like formula stated by J. Rosen in Séminaire XXXVIII….Pages 199-202
Une preuve simple d’un résultat de Dufresne….Pages 203-213
Creation or deletion of a drift on a Brownian trajectory….Pages 215-232
Extending Chacon-Walsh: Minimality and Generalised Starting Distributions….Pages 233-264
Transformations browniennes et compléments indépendants: résultats et problèmes ouverts….Pages 265-278
Hyperbolic random walks….Pages 279-294
The Hypergroup Property and Representation of Markov Kernels….Pages 295-347
A new look at ‘Markovian’ Wiener-Hopf theory….Pages 349-369
Separability and completeness for the Wasserstein distance….Pages 371-377
A probabilistic interpretation to the symmetries of a discrete heat equation….Pages 379-399
On the tail distributions of the supremum and the quadratic variation of a càdlàg local martingale….Pages 401-420
The Burkholder-Davis-Gundy Inequality for Enhanced Martingales….Pages 421-438
On Martingale Selectors of Cone-Valued Processes….Pages 439-442
No asymptotic free lunch reviewed in the light of Orlicz spaces….Pages 443-454
New methods in the arbitrage theory of financial markets with transaction costs….Pages 455-462
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