Penalising Brownian Paths

Download or read book Penalising Brownian Paths written by Bernard Roynette and published by Springer Science & Business Media. This book was released on 2009-03-25 with total page 291 pages. Available in PDF, EPUB and Kindle. Book excerpt: Penalising a process is to modify its distribution with a limiting procedure, thus defining a new process that differs from the original. This book presents a number of examples of such penalisations in the Brownian and Bessel processes framework.

Download or read book Séminaire de Probabilités L written by Catherine Donati-Martin and published by Springer Nature. This book was released on 2019-11-19 with total page 562 pages. Available in PDF, EPUB and Kindle. Book excerpt: This milestone 50th volume of the "Séminaire de Probabilités" pays tribute with a series of memorial texts to one of its former editors, Jacques Azéma, who passed away in January. The founders of the "Séminaire de Strasbourg", which included Jacques Azéma, probably had no idea of the possible longevity and success of the process they initiated in 1967. Continuing in this long tradition, this volume contains contributions on state-of-art research on Brownian filtrations, stochastic differential equations and their applications, regularity structures, quantum diffusion, interlacing diffusions, mod-Ø convergence, Markov soup, stochastic billiards and other current streams of research.

Download or read book Option Prices as Probabilities written by Christophe Profeta and published by Springer Science & Business Media. This book was released on 2010-01-26 with total page 282 pages. Available in PDF, EPUB and Kindle. Book excerpt: Discovered in the seventies, Black-Scholes formula continues to play a central role in Mathematical Finance. We recall this formula. Let (B ,t? 0; F ,t? 0, P) - t t note a standard Brownian motion with B = 0, (F ,t? 0) being its natural ?ltra- 0 t t tion. Let E := exp B? ,t? 0 denote the exponential martingale associated t t 2 to (B ,t? 0). This martingale, also called geometric Brownian motion, is a model t to describe the evolution of prices of a risky asset. Let, for every K? 0: + ? (t) :=E (K?E ) (0.1) K t and + C (t) :=E (E?K) (0.2) K t denote respectively the price of a European put, resp. of a European call, associated with this martingale. Let N be the cumulative distribution function of a reduced Gaussian variable: x 2 y 1 ? 2 ? N (x) := e dy. (0.3) 2? ?? The celebrated Black-Scholes formula gives an explicit expression of? (t) and K C (t) in terms ofN : K ? ? log(K) t log(K) t ? (t)= KN ? + ?N ? ? (0.4) K t 2 t 2 and ? ?

Download or read book Mathematical Statistics and Limit Theorems written by Marc Hallin and published by Springer. This book was released on 2015-04-07 with total page 326 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Festschrift in honour of Paul Deheuvels’ 65th birthday compiles recent research results in the area between mathematical statistics and probability theory with a special emphasis on limit theorems. The book brings together contributions from invited international experts to provide an up-to-date survey of the field. Written in textbook style, this collection of original material addresses researchers, PhD and advanced Master students with a solid grasp of mathematical statistics and probability theory.

Download or read book In Memoriam Marc Yor - Séminaire de Probabilités XLVII written by Catherine Donati-Martin and published by Springer. This book was released on 2015-09-07 with total page 657 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume is dedicated to the memory of Marc Yor, who passed away in 2014. The invited contributions by his collaborators and former students bear testament to the value and diversity of his work and of his research focus, which covered broad areas of probability theory. The volume also provides personal recollections about him, and an article on his essential role concerning the Doeblin documents. With contributions by P. Salminen, J-Y. Yen & M. Yor; J. Warren; T. Funaki; J. Pitman& W. Tang; J-F. Le Gall; L. Alili, P. Graczyk & T. Zak; K. Yano & Y. Yano; D. Bakry & O. Zribi; A. Aksamit, T. Choulli & M. Jeanblanc; J. Pitman; J. Obloj, P. Spoida & N. Touzi; P. Biane; J. Najnudel; P. Fitzsimmons, Y. Le Jan & J. Rosen; L.C.G. Rogers & M. Duembgen; E. Azmoodeh, G. Peccati & G. Poly, timP-L Méliot, A. Nikeghbali; P. Baldi; N. Demni, A. Rouault & M. Zani; N. O'Connell; N. Ikeda & H. Matsumoto; A. Comtet & Y. Tourigny; P. Bougerol; L. Chaumont; L. Devroye & G. Letac; D. Stroock and M. Emery.

Download or read book Generalized Bessel Functions of the First Kind written by Árpád Baricz and published by Springer Science & Business Media. This book was released on 2010-05-25 with total page 225 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume studies the generalized Bessel functions of the first kind by using a number of classical and new findings in complex and classical analysis. It presents interesting geometric properties and functional inequalities for these generalized functions.

Download or read book Regularity and Approximability of Electronic Wave Functions written by Harry Yserentant and published by Springer. This book was released on 2010-05-19 with total page 194 pages. Available in PDF, EPUB and Kindle. Book excerpt: The electronic Schrodi ̈ nger equation describes the motion of N electrons under Coulomb interaction forces in a eld of clamped nuclei. Solutions of this equation depend on 3N variables, three spatial dimensions for each electron. Approxim- ing the solutions is thus inordinately challenging, and it is conventionally believed that a reduction to simpli ed models, such as those of the Hartree-Fock method or density functional theory, is the only tenable approach. This book seeks to c- vince the reader that this conventional wisdom need not be ironclad: the regularity of the solutions, which increases with the number of electrons, the decay behavior of their mixed derivatives, and the antisymmetry enforced by the Pauli principle contribute properties that allow these functions to be approximated with an order of complexity which comes arbitrarily close to that for a system of one or two electrons. The present notes arose from lectures that I gave in Berlin during the academic year 2008/09 to introduce beginning graduate students of mathematics into this subject. They are kept on an intermediate level that should be accessible to an audience of this kind as well as to physicists and theoretical chemists with a c- responding mathematical training.