Exponential Functionals of Brownian Motion and Related Processes (Springer Finance) - Softcover

Yor, Marc

Softcover

ISBN 10: 3540659439 ISBN 13: 9783540659433

Verlag: Springer, 2013

Inhaltsangabe

This volume collects papers about the laws of geometric Brownian motions and their time-integrals, written by the author and coauthors between 1992 and 1994. These functionals play an important role in Mathematical Finance, as well as in (probabilistic) studies related to hyperbolic geometry, and also to random media. Throughout the volume, connections with more recent studies involving for example exponential functionals of Lévy processes are indicated. Some papers originally published in French are made available in English for the first time.

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Über die Autorin bzw. den Autor

MARC YOR has been Professor at the Laboratoire de Probabilités et Modèles Aléatoires at the Université Pierre et Marie Curie, Paris, since 1981, and a member of the Académie des Sciences de Paris since 2003. His research interests - which are well illustrated in the present book - bear upon properties of Brownian functionals, either for pure or applied purposes. Recently, Marc Yor has also been working on the interface between number theory and random matrices. ROGER MANSUY has been teaching mathematics at the Lycée Louis le Grand, Paris, since 2006. He has been working with Marc Yor - who was the supervisor of Roger Mansuy's PhD thesis - in recent years. Prior to the present volume he and Marc Yor collaborated in publishing volume 1873 of the series Lecture Notes in Mathematics entitled "Random Times and Enlargements of Filtration in a Brownian setting".

Details zur Ausgabe

• Verlag: Springer
• Erscheinungsdatum: 2013
• Sprache: Englisch
• ISBN 10: 3540659439
• ISBN 13: 9783540659433
• Einband: Taschenbuch
• Anzahl der Seiten: 216
• Kontakt zum Hersteller: ProductSafety@springernature.com; ProductSafety@springernature.com; ; Poststr. 9; Darmstadt; 64293; Deutschland