Browse by: Author name - Classification - Keywords - Nature

XLIII: 01, 3-70, LNM 2006 (2011)
Representation formulae for the fractional Brownian motion (Theory of processes)
Keywords: Fractional Brownian motion, Brownian motion
Nature: Original, Survey
XLIII: 02, 73-94, LNM 2006 (2011)
ARNAUDON, Marc; COULIBALY, Koléhè Abdoulaye; THALMAIER, Anton
Horizontal diffusion in $C^1$ path space (Theory of processes)
Keywords: Brownian motion, Damped parallel transport, Horizontal diffusion, Monge-Kantorovich problem, Ricci curvature
Nature: Original
XLIII: 03, 95-104, LNM 2006 (2011)
A stochastic calculus proof of the CLT for the $L^{2}$ modulus of continuity of local time (Theory of Brownian motion)
Keywords: Central Limit Theorem, Moduli of continuity, Local times, Brownian motion
Nature: Original
XLIII: 04, 105-126, LNM 2006 (2011)
On a zero-one law for the norm process of transient random walk (Theory of random walks)
Keywords: Zero-one law, Random walk, Local times, Jeulin's lemma
Nature: Original
XLIII: 05, 127-186, LNM 2006 (2011)
LAURENT, Stéphane
On standardness and I-cosiness (Filtrations)
Keywords: Filtrations, Cosiness
Nature: Original, Exposition
XLIII: 06, 187-189, LNM 2006 (2011)
On isomorphic probability spaces
Nature: Original
XLIII: 07, 191-214, LNM 2006 (2011)
RIEDLE, Markus
Cylindrical Wiener Processes
Keywords: Cylindrical Wiener process, Cylindrical process, Cylindrical measure, Stochastic integrals, Stochastic differential equations, Radonifying operator, Reproducing kernel Hilbert space
Nature: Original
XLIII: 08, 215-219, LNM 2006 (2011)
PRATELLI, Maurizio
A Remark on the $1/H$-variation of the Fractional Brownian Motion (Theory of processes)
Keywords: Fractional Brownian motion, $p$-variation, Ergodic theorem
Nature: Exposition
XLIII: 09, 221-239, LNM 2006 (2011)
MAROUBY, Matthieu
Simulation of a Local Time Fractional Stable Motion (Theory of processes)
Keywords: Stable processes, Self-similar processes, Shot noise series, Local times, Fractional Brownian motion, Simulation
Nature: Original
XLIII: 10, 241-268, LNM 2006 (2011)
Convergence at first and second order of some approximations of stochastic integrals (Theory of Brownian motion, Theory of stochastic integrals)
Keywords: Stochastic integration by regularization, Quadratic variation, First and second order convergence, Stochastic Fubini's theorem
Nature: Original
XLIII: 11, 269-307, LNM 2006 (2011)
PAGÈS, Gilles; SELLAMI, Afef
Convergence of multi-dimensional quantized SDE's (Integration theory, Theory of processes)
Keywords: Functional quantization, Stochastic differential equations, Stratonovich integrals, Stationary quantizers, Rough paths, Itô map, Hölder semi-norm, $p$-variation
Nature: Original
XLIII: 12, 309-325, LNM 2006 (2011)
TUDOR, Ciprian A.
Asymptotic Cramér's theorem and analysis on Wiener space (Limit theorems, Stochastic analysis)
Keywords: Multiple stochastic integrals, Limit theorems, Malliavin calculus, Stein's method
Nature: Original
XLIII: 13, 327-340, LNM 2006 (2011)
LEHEC, Joseph
Moments of the Gaussian Chaos (Stochastic analysis)
Nature: Original
XLIII: 14, 341-349, LNM 2006 (2011)
BOULEAU, Nicolas
The Lent Particle Method for Marked Point Processes (General theory of processes, Point processes)
Nature: Original
XLIII: 15, 351-377, LNM 2006 (2011)
Ewens measures on compact groups and hypergeometric kernels (Theory of random matrices)
Keywords: Decomposition of Haar Measure, Random Matrices, Characteristic Polynomial, Ewens sampling formula, Correlation kernel
Nature: Original
XLIII: 16, 379-394, LNM 2006 (2011)
ATTAL, Stéphane; NECHITA, Ion
Discrete approximation of the free Fock space (Non commutative probability theory)
Keywords: Free probability, Free Fock space, Toy Fock space, Limit theorems
Nature: Original
XLIII: 17, 395-412, LNM 2006 (2011)
CZICHOWSKY, Christoph; WESTRAY, Nicholas; ZHENG, Harry
Convergence in the semimartingale topology and constrained portfolios (Martingale theory, Mathematical finance)
Nature: Original
XLIII: 18, 413-436, LNM 2006 (2011)
Closedness in the semimartingale topology for spaces of stochastic integrals with constrained integrands
Keywords: Stochastic integrals, Constrained strategies, Semimartingale topology, Closedness, Predictably convex, Projection on predictable range, Predictable correspondence, Optimisation under constraints, Mathematical finance
Nature: Original
XLIII: 19, 437-439, LNM 2006 (2011)
BAKER, David; YOR, Marc
On martingales with given marginals and the scaling property (Martingale theory, Theory of Brownian motion)
Nature: Original
XLIII: 20, 441-449, LNM 2006 (2011)
BAKER, David; DONATI-MARTIN, Catherine; YOR, Marc
A sequence of Albin type continuous martingales with Brownian marginals and scaling (Martingale theory)
Keywords: Martingales, Brownian marginals
Nature: Original
XLIII: 21, 451-503, LNM 2006 (2011)
HIRSCH, Francis; PROFETA, Christophe; ROYNETTE, Bernard; YOR, Marc
Constructing self-similar martingales via two Skorokhod embeddings (Martingale theory)
Keywords: Skorokhod embeddings, Hardy-Littlewood functions, Convex order, Schauder fixed point theorem, Self-similar martingales, Karamata's representation theorem
Nature: Original