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 Séminaire de probabilités (47th : 2015)
 Cham : Springer, [2015]
 Description
 Book — l, 619 pages : illustrations (some color) ; 24 cm.
 Summary

 P. Salminen, JY. Yen, M. Yor: Integral representations of certain measures in the onedimensional diffusions excursion theory. J. Warren: Sticky Particles and Stochastic Flows. T. Funaki: Infinitesimal invariance for the coupled KPZ equations. J. Pitman, W. Tang: Patterns in random walks and Brownian motion. JF. Le Gall: Bessel processes, the Brownian snake and superBrownian motion. L. Alili, P. Graczyk, T. Zak: On inversions and Doob htransforms of linear diffusions. K. Yano, Y. Yano: On htransforms of onedimensional diffusions stopped upon hitting zero. D. Bakry, O. Zribi: htransforms and orthogonal polynomials. A. Aksamit, T. Choulli, M. Jeanblanc: On an optional semimartingale decomposition and the existence of the deator in an enlarged filtration. J. Pitman: Martingale marginals do not always determine convergence. J. Obloj, P. Spoida, N. Touzi: Martingale Inequalities for the Maximum via Pathwise Arguments. P. Biane: Polynomials associated with finite Markov chains. J. Najnudel: On sigmafinite measures related to the Martin boundary of recurrent Markov chains. P. Fitzsimmons, Y. Le Jan, J. Rosen: Loop measures without transition probabilities. L.C.G. Rogers, M. Duembgen: The joint law of the extrema, final value and signature of a stopped random walk. E. Azmoodeh, G. Peccati, G. Poly: Convergence towards linear combinations of chisquared random variables: a Malliavinbased approach. PL Meliot, A. Nikeghbali: ModGaussian convergence and its applications for models of statistical mechanics. P. Baldi: On Sharp Large Deviations for the bridge of a general Diffusion. N. Demni, A. Rouault, M. Zani: Large deviations for clocks of semistable processes. N. O'Connell: Stochastic Backlund transformations. N. Ikeda, H. Matsumoto: The Kolmogorov operator and classical mechanics. A. Comtet , Y. Tourigny: Explicit formulae in probability and in statistical physics. P. Bougerol: The Matsumoto and Yor process and infinite dimensional hyperbolic space. L. Chaumont: Breadth first search coding of multitype forests with application to Lamperti representation. L. Devroye, G. Letac: Copulas with prescribed correlation matrix. D. Stroock: Remarks on the HRT Conjecture.
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Serials  
Shelved by Series title V.2137  Unknown 
 Yen, JuYi.
 Cham [Switzerland] : Springer, c2013.
 Description
 Book — ix, 135 p. : ill. (some col.) ; 24 cm.
 Summary

 Prerequisites
 Part I: Local Times of Continuous Semimartingales. The Existence and Regularity of Semimartingale Local Times
 Lévy's Representation of Reflecting BM and Pitman's Representation of BES(3)
 Paul Lévy's Arcsine Laws
 Part II: Excursion Theory for Brownian Paths. Brownian Excursion Theory: A First Approach
 Two Descriptions of n: Itô's and Williams'
 A Simple Path Decomposition of Brownian Motion Around Time t = 1
 The Laws of, and Conditioning with Respect to, Last Passage Times
 Integral Representations Relating W and n
 Part III: Some Applications of Excursion Theory. The FeynmanKac Formula and Excursion Theory
 Some Identities in Law.
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Shelved by Series title V.2088  Unknown 
3. Exercises in probability : a guided tour from measure theory to random processes, via conditioning [2012]
 Chaumont, L. (Loïc)
 2nd ed.  Cambridge ; New York : Cambridge University Press, 2012.
 Description
 Book — xx, 279 p. : ill. ; 26 cm.
 Summary

 Preface to the Second Edition Preface to the First Edition
 1. Measure theory and probability
 2. Independence and conditioning
 3. Gaussian variables
 4. Distributional computations
 5. Convergence of random variables
 6. Random processes Where is the notion N discussed? Final suggestions: how to go further? References Index.
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QA273.25 .C43 2012  Unknown 
 JeanblancPicqué, Monique, 1947
 Dordrecht ; New York : Springer, c2009.
 Description
 Book — xxv, 732 p. : ill. ; 25 cm.
 Summary

 Continuous Path Processes. ContinuousPath Random Processes: Mathematical Prerequisites. Basic Concepts and Examples in Finance. Hitting Times: A Mix of Mathematics and Finance. Complements on Brownian Motion. Complements on Continuous Path Processes. A Special Family of Diffusions: Bessel Processes. Jump Processes. Default Risk: An Enlargement of Filtration Approach. Poisson Processes and Ruin Theory. General Processes: Mathematical Facts. Mixed Processes. Levy Processes.
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HG106 .J43 2009  Unknown 
5. Penalising Brownian paths [2009]
 Roynette, Bernard.
 Berlin : SpringerVerlag, c2009.
 Description
 Book — xii, 275 p. : ill. ; 24 cm.
 Summary

 Introduction.
 1 Some Penalisations of Wiener Measure.
 2 FeynmanKac Penalisations for Brownian Motion.
 3 Penalisations of a Bessel Process with Dimension d (02) by a Function of the Ranked Lengths of its Excursions.
 4 A General Principle and some Questions About Penalisations.
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Shelved by Series title V.1969  Unknown 
6. Aspects of Brownian motion [2008]
 Mansuy, Roger.
 Berlin : Springer, c2008.
 Description
 Book — xiii, 195 p. ; 24 cm.
 Summary

 The Gaussian Space of BM. Quadratic Functionals of Brownian Motion. RayKnight Theorems for Brownian Local Times. On Squared Bessel Processes. On the CiesielskiTaylor Identities. On the Winding Number of Planar BM. Exponential Functionals of Brownian Motion. Some Asymptotic Laws for Multidimensional Brownian Motion. Some Extensions of Paul Levy's Arc Sine Law. Further Results about Perturbed Reflecting Brownian Motion. On Principal Values of Brownian and Bessel Local Times. Probabilistic Representations of the Riemann Zeta Function.
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QA274.75 .M36 2008  Unknown 
 Berlin : Springer, c2007.
 Description
 Video — 1 videodisc (80 min.) : sd., col. ; 4 3/4 in. + 1 booklet (23 p. ; 18 cm.)
 Summary

 pt.1. Biography (55 min., in English, French, and German)
 pt.2. Formula: Sur l'équation de Kolmogoroff (25 min., in English)
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QA29 .D64 W65 2007  Unknown 
 Séminaire de probabilités (39th)
 Berlin ; New York : Springer, 2006.
 Description
 Book — viii, 417 p. : ill. ; 24 cm.
 Summary

 Paul Andre Meyer: Titres et travaux, postface Marc Yor: The life and scientific works of PaulAndre Meyer Stephane Attal: Disparition de PaulAndre Meyer Temoignages de Jacques Azema, Claude Dellacherie, Catherine DoleansDade, Michel Emery, Yves Le Jan, Bernard Maisonneuve, Yves Meyer, Jacques Neveu, Nicolas Privault, Daniel Revuz Yan Pautrat: Kernel and integral representations of operators on infinite dimensional toy Fock spaces Philippe Biane: Le theoreme de Pitman, le groupe quantique SUq(2), et une question de P. A. Meyer JiaAn Yan: A simple proof of two generalized BorelCantelli lemmas, Francois Coquet, Adam Jakubowski, Jean Memin Leszek Slominski: Natural decomposition of processes and weak Dirichlet processes John Walsh: A lost scroll Marzia De Donno, Maurizio Pratelli: Stochastic integration with respect to a sequence of semimartingales Rajeeva L. Karandikar: On almost sure convergence results in stochastic calculus S. Kotani: On a condition that onedimensional diffusion processes are martingales Dilip B. Madan, Marc Yor: Ito's integrated formula for strict local martingales David Applebaum: Martingalevalued measures, OrnsteinUhlenbeck processes with jumps and operator selfdecomposability in Hilbert space Michel Emery: Sandwiched filtrations and Levy processes Yuri Kabanov, Christophe Stricker: The DalangMortonWillinger theorem under delayed information Freddy Delbaen: The structure of mstable sets and in particular of the set of risk neutral measures B. Rajeev: A path transformation of Brownian motion, David Aldous, Jim Pitman: Two recursive decompositions of Brownian bridge related to the asymptotics of random mappings Bernard Roynette, Pierre Vallois, Marc Yor: Penalisations et extensions du theoreme de Pitman relatives au mouvement brownien et a son maximum unilatere Leonard Gallardo, Marc Yor: Some remarkable properties of the Dunkl martingales Nathanael Enriquez, Jacques Franchi, Yves Le Jan: Enroulements browniens et subordination dans les groupes de Lie Laurence MaillardTeyssier: Stochastic covariant calculus with jumps and stochastic calculus with covariant jumps ...
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Shelved by Series title V.1874  Unknown 
 Mansuy, Roger.
 Berlin ; New York : Springer, 2006.
 Description
 Book — xiii, 158 p. : ill. ; 24 cm.
 Summary

 Preliminaries. Enlargements of Filtrations. Stopping and NonStopping Times. On the Martingales which Vanish on the Set of Brownian Zeroes. PRP and CRP for some Remarkable Martingales. Unveiling the Brownian Path (or History) as the Level Rises.Weak and Strong Brownian Filtrations. Appendix: Sketches of Solutions for the Exercises. References. Index.
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Shelved by Series title V.1873  Unknown 
10. Séminaire de probabilités XXXVIII [2005]
 Séminaire de probabilités (38th)
 Berlin ; New York : Springer, c2005.
 Description
 Book — ix, 392 p. ; 24 cm.
Science Library (Li and Ma)
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Serials  
Shelved by Series title V.1857  Unknown 
11. Exercises in probability : a guided tour from measure theory to random processes, via conditioning [2003]
 Chaumont, L. (Loïc)
 Cambridge, U.K. ; New York : Cambridge University Press, 2003.
 Description
 Book — xv, 236 p. ; 27 cm.
 Summary

 1. Measure theory and probability
 2. Independence and conditioning
 3. Gaussian variables
 4. Distributional computations
 5. Convergence of random variables
 6. Random processes.
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QA273.25 .C43 2003  Unknown 
 Berlin : London : Springer, c2002.
 Description
 Book — x, 553 p. ; 24 cm.
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Serials  
Shelved by Series title V.1771  Unknown 
13. Séminaire de probabilités XXXV [2001]
 Berlin ; London : Springer, c2001.
 Description
 Book — vi, 424 p. ; 24 cm.
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Shelved by Series title V.1755  Unknown 
14. Continuous martingales and Brownian motion [1999]
 Revuz, D.
 3rd ed.  Berlin ; New York : Springer, c1999.
 Description
 Book — xiii, 602 p. : ill. ; 25 cm.
 Summary

 Preliminaries. Introduction. Martingales. Markov Processes. Stochastic Integration. Representation of Martingales. Local Times. Generators and Time Reversal. Girsanov's Theorem and First Applications. Stochastic Differential Equations. Additive Functionals of Brownian Motion. Bessel Processes and RayKnight Theorems. Excursions. Limit Theorems in Distribution. Appendix. Bibliography. Index of Notation. Index of Terms. Catalogue.
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QA274.5 .R48 1999  Unknown 
15. Continuous martingales and Brownian motion [1991]
 Revuz, D.
 Berlin ; New York : SpringerVerlag, c1990.
 Description
 Book — ix, 533 p. : ill. ; 24 cm.
 Summary

This work provides a detailed study of Brownian motion, via the Ito stochastic calculus of continuous processes such as diffusions and continuous semimartingales. It aims to facilitate the reading and understanding of research papers in this area, and will be of interest both to graduate students and to more advanced readers, either working primarily with stochastic processes, or doing research in an area involving stochastic processes, such as mathematical physics or economics. The emphasis is on methods, rather than generality. After the first introduction, each chapter introduces a new method or idea  stochastic integration, local times, excursions, weak convergence  and describes its applications to Brownian motion. A feature of the text is the large number of exercises which provide additional results. These have been designed to help the reader master the subject more easily.
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QA274.5 .R48 1991  Unknown 