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 theexception of two are written in English language. INDICE: Spectral gap for a colored disordered lattice gas.- On large deviations for the spectral measure of discrete Coulomb gas.- Estimates for momentsof random matrices with Gaussian elements.- Geometric interpretation of the cumulants for random matrices previously defined as convolutions on the symmetric group.- Fluctuations of spectrally negative Markov additive processes.- On continuity properties of the law of integrals of Lévy processes.-: A law of the iterated logarithm for fractional Brownian motions.- A simple theory for thestudy of SDEs driven by a fractional Brownian motion, in dimensio local time in R1.- Une preuve simple d’un résultat de Dufresne.- Creation or deletion of a drift on a Brownian trajectory.- Extending Chacon-Walsh: minimality and generalised starting distributions.- Transformations browniennes et compléments indépendants : résultats et problèmes ouverts.- Hyperbolic random walks.- The hypergroup property and representation of Markov kernels.- A new look at ‘Markovian’ Wiener-Hopf theory.- Separability and completeness for the Wasserstein distance.- A probabilistic interpretation to the symmetries of a discrete heat equation.- On tail distributions of supremum and quadratic variation of càdlàg local martingales.- The Burkholder-Davis-Gundy inequality for enhanced martingales.- On martingale selectors of conevalued processes.- No asymptotic free lunch reviewed in the light of Orlicz spaces.- New methods in the arbitrage theory of financial markets with transaction costs.
- ISBN: 978-3-540-77912-4
- Editorial: Springer
- Encuadernacion: Rústica
- Páginas: 460
- Fecha Publicación: 01/04/2008
- Nº Volúmenes: 1
- Idioma: Inglés
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