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Seminaire de Probabilites XXXIV [[electronic resource] /] / edited by J. Azema, M. Emery, M. Ledoux, M. Yor
| Seminaire de Probabilites XXXIV [[electronic resource] /] / edited by J. Azema, M. Emery, M. Ledoux, M. Yor |
| Edizione | [1st ed. 2000.] |
| Pubbl/distr/stampa | Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2000 |
| Descrizione fisica | 1 online resource (VIII, 440 p.) |
| Disciplina | 519.2 |
| Collana | Séminaire de Probabilités |
| Soggetto topico |
Probabilities
Probability Theory and Stochastic Processes |
| ISBN | 3-540-46413-1 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Branching and interacting particle systems approximations of feynman-kac formulae with applications to non-linear filtering -- Exponential inequalities for bessel processes -- On sums of iid random variables indexed by N parameters -- Series of iterated quantum stochastic integrals -- p-variation for families of local times on lines -- Large deviations for some poisson random integrals -- Formes de Dirichlet sur un Espace de Wiener-Poisson. Application au grossissement de filtration -- Saturations of gambling houses -- Convergence of a ‘gibbs-boltzmann’ random measure for a typed branching diffusion -- Time dependent subordination and markov processes with jumps -- Marked excursions and random trees -- Laws of the iterated logarithm for the Brownian snake -- On the Onsager-Machlup functional for elliptic diffusion processes -- A unified approach to several inequalities for gaussian and diffusion measures -- Trous spectraux pour certains algorithmes de Métropolis sur ? -- Comportement asymptotique des fonctions harmoniques sur les arbres -- Asymptotic estimates for the first hitting time of fluctuating additive functionals of Brownian motion -- Monotonicity property for a class of semilinear partial differential equations -- Fast sets and points for fractional Brownian motion -- Some invariance properties (of the laws) of Ocone’s martingales. |
| Record Nr. | UNISA-996466509603316 |
| Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2000 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
| ||
Seminaire de Probabilites XXXIV / / edited by J. Azema, M. Emery, M. Ledoux, M. Yor
| Seminaire de Probabilites XXXIV / / edited by J. Azema, M. Emery, M. Ledoux, M. Yor |
| Edizione | [1st ed. 2000.] |
| Pubbl/distr/stampa | Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2000 |
| Descrizione fisica | 1 online resource (VIII, 440 p.) |
| Disciplina | 519.2 |
| Collana | Séminaire de Probabilités |
| Soggetto topico |
Probabilities
Probability Theory and Stochastic Processes |
| ISBN | 3-540-46413-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Branching and interacting particle systems approximations of feynman-kac formulae with applications to non-linear filtering -- Exponential inequalities for bessel processes -- On sums of iid random variables indexed by N parameters -- Series of iterated quantum stochastic integrals -- p-variation for families of local times on lines -- Large deviations for some poisson random integrals -- Formes de Dirichlet sur un Espace de Wiener-Poisson. Application au grossissement de filtration -- Saturations of gambling houses -- Convergence of a ‘gibbs-boltzmann’ random measure for a typed branching diffusion -- Time dependent subordination and markov processes with jumps -- Marked excursions and random trees -- Laws of the iterated logarithm for the Brownian snake -- On the Onsager-Machlup functional for elliptic diffusion processes -- A unified approach to several inequalities for gaussian and diffusion measures -- Trous spectraux pour certains algorithmes de Métropolis sur ? -- Comportement asymptotique des fonctions harmoniques sur les arbres -- Asymptotic estimates for the first hitting time of fluctuating additive functionals of Brownian motion -- Monotonicity property for a class of semilinear partial differential equations -- Fast sets and points for fractional Brownian motion -- Some invariance properties (of the laws) of Ocone’s martingales. |
| Record Nr. | UNINA-9910146313903321 |
| Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2000 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Seminaire de Probabilites XXXV [[electronic resource] /] / edited by J. Azema, M. Emery, M. Ledoux, M. Yor
| Seminaire de Probabilites XXXV [[electronic resource] /] / edited by J. Azema, M. Emery, M. Ledoux, M. Yor |
| Edizione | [1st ed. 2001.] |
| Pubbl/distr/stampa | Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2001 |
| Descrizione fisica | 1 online resource (VIII, 384 p.) |
| Disciplina | 519.2 |
| Collana | Séminaire de Probabilités |
| Soggetto topico |
Probabilities
Applied mathematics Engineering mathematics Economics, Mathematical Probability Theory and Stochastic Processes Applications of Mathematics Quantitative Finance |
| ISBN | 3-540-44671-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Intro -- 1. Introduction -- 2. Pure-Jump Markov Processes -- 3. A Multiplicative Functional -- 4. The Renormalization of Multiplicative Functionals and Variational Principle -- References -- 1 Introduction -- 2 Boolean independence and convolution -- 3 Boolean Fock space, Brownian motion and Poisson process -- 4 Probabilistic interpretation of -- 5 Quantum stochastic processes in discrete time -- 6 Quantum stochastic calculus by time changes -- References -- 1. Généralités -- 1.1. Rappels et conventions -- 1.2. Équations de structure -- 1.3. Un critère d'unicité -- 2. Martingales d'Azéma asymétriques, présentation -- 2.1. Classification élémentaire -- 2.2. Marches aléatoires sous-jacentes -- 2.3. Dépassement -- 3. Comportements simples -- 3.1. Dépassements continus -- 3.2. Comportements découplables -- 3.3. Comportements semi-découplables -- 4. Comportements mélangeants -- 4.1. Équations de renouvellement (première forme) -- 4.2. Équations de renouvellement (seconde forme) -- 4.3. Vérification du principe d'assemblage -- 5. Propriétés et probIèmes -- 5.1. Invariance d'Échelle -- 5.2. Caractère markovien -- 5.3. Temps local -- Références -- 0. Introduction -- 1. Some path and local time properties -- 2. An extension of Ito's formula -- 3. Some applications of the extension of Ito's formula to Burkholder-Davis-Gundy's type inequalities -- References -- 1 Introduction et notations -- 2 Équations de structure vectorielles -- Martingales normales -- Tenseurs doublement symétriques et systèmes droits -- Propriétés des solutions d'une équation de structure -- Formule de compensation -- 3 Le cas bidimensionnel -- Généralités -- Martingales d'Azéma -- Détermination de systèmes droits -- 4 Semimartingales formellement à variation finie -- 5 Le théorème de caractérisation -- La condition est suffisante -- La condition est nécessaire -- Références.
Références -- Notation and preliminaries -- Two simple instances of chaotic representation property -- Another, less simple, case of chaotic representation property -- References -- 1 Main results -- 2 Preliminaries from stochastic calculus -- 3 Proof of Theorem 1.1 -- 4 Key lemma -- 5 Final comments -- References -- 1. Introduction -- 2. No-arbitrage criteria -- 3. Auxiliary results -- References -- References -- References -- 1 Introduction -- 2 Proof of the main result -- References -- 1. General results and known facts -- 2. General correlation inequalities -- 3. Spectral gaps for some families of potentials -- 4. Marginal distributions -- 5. Logarithmic Sobolev inequalities -- 6. Logarithmic Sobolev inequalities for spin systems -- References -- 1. Introduction -- 2. Existence -- 3. Uniqueness -- References -- References -- 1 Introduction -- 2 Notations'and basic data -- 3 An intrinsic measure on -- 4 Diffusions on and on -- 4.1 The diffusions on and on -- 4.2 νʹ as an invariant measure -- 4.3 π2(ξtઠ) is the Φ-diffusion -- 5. Exit measure of the Φ-diffusion if δ< d/2 -- References -- Introduction -- I. Approximation by Lipschitz functions -- II. Some properties of approximation with delay in ODE -- III. Some properties of approximation with delay in SDE -- IV. Weak solution and L2-approximation -- References -- Introduction -- Notations -- 1 Geometry of G and G-martingales -- 1.1 Choice of a connection -- 1.2 G-valued martingales -- 1.3. The stochastic exponential and logarithm -- 2 G-martingale with prescribed terminal value -- 2.1 Example: the Heisenberg group -- 2.2 Existence and uniqueness -- case of a (Γ)-group -- 2.3 Existence and uniqueness -- case of a nilpotent Lie group -- 3 BSDE -- 3.1 BSDE with drift depending only on time: existence and uniqueness -- 3.2 BSDE with bounded drift F: case of a Γ-group -- References -- Introduction. Définition d'une filtration quotient -- Références -- Introduction -- Notation and definitions -- Vershik's standardness criterion: Preliminary notions -- Vershik's standardness criterion: First level -- Vershik's standardness criterion: Second level -- Vershik's theorem on lacunary isomorphism -- Study of an example -- Other forms of cosiness -- Vershik's Example 3 -- On a question by von Weizsäcker -- References -- I. Introduction -- II. Examples of weak convergences of filtrations -- Weak convergence of filtrations and extended convergence -- III. Stability of processes under convergence of filtrations -- IV. Stability of backward equations under convergence of filtrations -- References -- 1 - Introduction -- 2 - Proof of Theorem 1 -- References -- 1 Introduction -- 2 A characterization of processes with cyclic exchangeable increments -- 3 Lévy processes and bridges are CEL -- 4 Applications -- References -- 1 Introduction -- 1. Existence of the principal values -- 2. An extension of Itôs formula -- 2 Basic Definitions and Facts -- 1. Local times -- 2. Bessel processes -- 3. Bessel Bridges -- 3 Existence of the Principal Values -- 1. The results -- 2. The proofs -- 3. Comparison of Theorems 3.1 and 3.2. -- 4 An Extension of Itô's Formula -- 1. Itô's formula and its known -- 2. An extension based on the principal values -- 3. Comparison of different extensions -- 5 Properties of the Principal Values -- 1. Continuity -- 2. Energy -- 3. Additivity -- 4. Convergence to the principal value -- References -- Introduction -- 1. Preliminaries -- 2. From Tanaka Formula to Ito Formula -- 3. Local times and the occupation density formula -- References -- Note from the Rédaction -- 1 - Introduction and notations -- 2 - Preliminaries -- 3 - Proofs -- References -- 1. Introduction -- 2. Main Result -- 3. Proof of Theorem 2.1. 4. Schrödinger Operators with Morse Potentials -- 5. Maass Laplacian -- 6. Further Applications of Theorem 2.1 -- References -- 1 Introduction -- 2 Proof -- 2.1 Two classes of paths -- 2.2 The path transform -- References -- 1 - Introduction -- 2 - Proof -- References. |
| Record Nr. | UNISA-996466380303316 |
| Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2001 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
| ||
Seminaire de Probabilites XXXV / / edited by J. Azema, M. Emery, M. Ledoux, M. Yor
| Seminaire de Probabilites XXXV / / edited by J. Azema, M. Emery, M. Ledoux, M. Yor |
| Edizione | [1st ed. 2001.] |
| Pubbl/distr/stampa | Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2001 |
| Descrizione fisica | 1 online resource (VIII, 384 p.) |
| Disciplina | 519.2 |
| Collana | Séminaire de Probabilités |
| Soggetto topico |
Probabilities
Applied mathematics Engineering mathematics Economics, Mathematical Probability Theory and Stochastic Processes Applications of Mathematics Quantitative Finance |
| ISBN | 3-540-44671-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Intro -- 1. Introduction -- 2. Pure-Jump Markov Processes -- 3. A Multiplicative Functional -- 4. The Renormalization of Multiplicative Functionals and Variational Principle -- References -- 1 Introduction -- 2 Boolean independence and convolution -- 3 Boolean Fock space, Brownian motion and Poisson process -- 4 Probabilistic interpretation of -- 5 Quantum stochastic processes in discrete time -- 6 Quantum stochastic calculus by time changes -- References -- 1. Généralités -- 1.1. Rappels et conventions -- 1.2. Équations de structure -- 1.3. Un critère d'unicité -- 2. Martingales d'Azéma asymétriques, présentation -- 2.1. Classification élémentaire -- 2.2. Marches aléatoires sous-jacentes -- 2.3. Dépassement -- 3. Comportements simples -- 3.1. Dépassements continus -- 3.2. Comportements découplables -- 3.3. Comportements semi-découplables -- 4. Comportements mélangeants -- 4.1. Équations de renouvellement (première forme) -- 4.2. Équations de renouvellement (seconde forme) -- 4.3. Vérification du principe d'assemblage -- 5. Propriétés et probIèmes -- 5.1. Invariance d'Échelle -- 5.2. Caractère markovien -- 5.3. Temps local -- Références -- 0. Introduction -- 1. Some path and local time properties -- 2. An extension of Ito's formula -- 3. Some applications of the extension of Ito's formula to Burkholder-Davis-Gundy's type inequalities -- References -- 1 Introduction et notations -- 2 Équations de structure vectorielles -- Martingales normales -- Tenseurs doublement symétriques et systèmes droits -- Propriétés des solutions d'une équation de structure -- Formule de compensation -- 3 Le cas bidimensionnel -- Généralités -- Martingales d'Azéma -- Détermination de systèmes droits -- 4 Semimartingales formellement à variation finie -- 5 Le théorème de caractérisation -- La condition est suffisante -- La condition est nécessaire -- Références.
Références -- Notation and preliminaries -- Two simple instances of chaotic representation property -- Another, less simple, case of chaotic representation property -- References -- 1 Main results -- 2 Preliminaries from stochastic calculus -- 3 Proof of Theorem 1.1 -- 4 Key lemma -- 5 Final comments -- References -- 1. Introduction -- 2. No-arbitrage criteria -- 3. Auxiliary results -- References -- References -- References -- 1 Introduction -- 2 Proof of the main result -- References -- 1. General results and known facts -- 2. General correlation inequalities -- 3. Spectral gaps for some families of potentials -- 4. Marginal distributions -- 5. Logarithmic Sobolev inequalities -- 6. Logarithmic Sobolev inequalities for spin systems -- References -- 1. Introduction -- 2. Existence -- 3. Uniqueness -- References -- References -- 1 Introduction -- 2 Notations'and basic data -- 3 An intrinsic measure on -- 4 Diffusions on and on -- 4.1 The diffusions on and on -- 4.2 νʹ as an invariant measure -- 4.3 π2(ξtઠ) is the Φ-diffusion -- 5. Exit measure of the Φ-diffusion if δ< d/2 -- References -- Introduction -- I. Approximation by Lipschitz functions -- II. Some properties of approximation with delay in ODE -- III. Some properties of approximation with delay in SDE -- IV. Weak solution and L2-approximation -- References -- Introduction -- Notations -- 1 Geometry of G and G-martingales -- 1.1 Choice of a connection -- 1.2 G-valued martingales -- 1.3. The stochastic exponential and logarithm -- 2 G-martingale with prescribed terminal value -- 2.1 Example: the Heisenberg group -- 2.2 Existence and uniqueness -- case of a (Γ)-group -- 2.3 Existence and uniqueness -- case of a nilpotent Lie group -- 3 BSDE -- 3.1 BSDE with drift depending only on time: existence and uniqueness -- 3.2 BSDE with bounded drift F: case of a Γ-group -- References -- Introduction. Définition d'une filtration quotient -- Références -- Introduction -- Notation and definitions -- Vershik's standardness criterion: Preliminary notions -- Vershik's standardness criterion: First level -- Vershik's standardness criterion: Second level -- Vershik's theorem on lacunary isomorphism -- Study of an example -- Other forms of cosiness -- Vershik's Example 3 -- On a question by von Weizsäcker -- References -- I. Introduction -- II. Examples of weak convergences of filtrations -- Weak convergence of filtrations and extended convergence -- III. Stability of processes under convergence of filtrations -- IV. Stability of backward equations under convergence of filtrations -- References -- 1 - Introduction -- 2 - Proof of Theorem 1 -- References -- 1 Introduction -- 2 A characterization of processes with cyclic exchangeable increments -- 3 Lévy processes and bridges are CEL -- 4 Applications -- References -- 1 Introduction -- 1. Existence of the principal values -- 2. An extension of Itôs formula -- 2 Basic Definitions and Facts -- 1. Local times -- 2. Bessel processes -- 3. Bessel Bridges -- 3 Existence of the Principal Values -- 1. The results -- 2. The proofs -- 3. Comparison of Theorems 3.1 and 3.2. -- 4 An Extension of Itô's Formula -- 1. Itô's formula and its known -- 2. An extension based on the principal values -- 3. Comparison of different extensions -- 5 Properties of the Principal Values -- 1. Continuity -- 2. Energy -- 3. Additivity -- 4. Convergence to the principal value -- References -- Introduction -- 1. Preliminaries -- 2. From Tanaka Formula to Ito Formula -- 3. Local times and the occupation density formula -- References -- Note from the Rédaction -- 1 - Introduction and notations -- 2 - Preliminaries -- 3 - Proofs -- References -- 1. Introduction -- 2. Main Result -- 3. Proof of Theorem 2.1. 4. Schrödinger Operators with Morse Potentials -- 5. Maass Laplacian -- 6. Further Applications of Theorem 2.1 -- References -- 1 Introduction -- 2 Proof -- 2.1 Two classes of paths -- 2.2 The path transform -- References -- 1 - Introduction -- 2 - Proof -- References. |
| Record Nr. | UNINA-9910144599203321 |
| Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2001 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||