Publications (62)
How to make Dupire's local volatility work with jumps
Peter K. Friz, Stefan Gerhold, Marc Yor
A chaotic representation property of the multidimensional Dunkl processes
Léonard Gallardo, Marc Yor
On hitting times of affine boundaries by reflecting Brownian motion and Bessel processes
Paavo Salminen, Marc Yor
On the expectation of normalized Brownian functionals up to first hitting times
Romuald Elie, Mathieu Rosenbaum, Marc Yor
On the law of a triplet associated with the pseudo-Brownian bridge
Mathieu Rosenbaum, Marc Yor
From Black-Scholes and Dupire formulae to last passage times of local martingales. Part A : The infinite time horizon
Amel Bentata, Marc Yor
Last-Hitting Times and Williams' Decomposition of the Bessel Process of Dimension 3 at its Ultimate Minimum
F. Thomas Bruss, Marc Yor
Perpetual integral functionals as hitting and occupation times
Paavo Salminen, Marc Yor
Generalized Gamma Convolutions, Dirichlet means, Thorin measures, with explicit examples
Lancelot F. James, Bernard Roynette, Marc Yor
Penalising symmetric stable Lévy paths
Kouji Yano, Yuko Yano, Marc Yor
Harnesses, Levy bridges and Monsieur Jourdain
Roger Mansuy, Marc Yor
On the excursion theory for linear diffusions
Paavo Salminen, Pierre Vallois, Marc Yor
A note on a.s. finiteness of perpetual integral functionals of diffusions
Paavo Salminen, Marc Yor
Call option prices based on Bessel processes
Ju-Yi Yen, Marc Yor
A scaling proof for Walsh's Brownian motion extended arc-sine law
Stavros Vakeroudis, Marc Yor
On the time to reach maximum for a variety of constrained Brownian motions
Satya. N. Majumdar, Julien Randon-Furling, Michael J. Kearney +1
Quasi-invariance properties of a class of subordinators
Max-K. Von Renesse, Marc Yor, Lorenzo Zambotti
Exponential functionals of Brownian motion, I: Probability laws at fixed time
Hiroyuki Matsumoto, Marc Yor
Retrieving information from subordination
Jean Bertoin, Marc Yor
A global view of Brownian penalisations
Joseph Najnudel, Bernard Roynette, Marc Yor
Limiting laws associated with Brownian motion perturbed by its maximum, minmum and local time II
Bernard Roynette, Pierre Vallois, Marc Yor
Renewal series and square-root boundaries for Bessel processes
Nathanael Enriquez, Christophe Sabot, Marc Yor
A Central Limit Theorem for a sequence of Brownian motions in the unit sphere in Rn
Stavros Vakeroudis, Marc Yor
Limiting laws for long Brownian Bridges perturbed by their one-sided maximum, III
Bernard Roynette, Pierre Vallois, Marc Yor
Equivalent and absolutely continuous measure changes for jump-diffusion processes
Patrick Cheridito, Damir Filipovic, Marc Yor
Local times for functions with finite variation: two versions of Stieltjes change of variables formula
Jean Bertoin, Marc Yor
Exponential functionals of Levy processes
Jean Bertoin, Marc Yor
Unifying the Dynkin and Lebesgue-Stieltjes formulae
Offer Kella, Marc Yor
Exercices sur les temps locaux de semi-martingales continues et les excursions browniennes
Bastien Mallein, Marc Yor
On the Mellin transforms of the perpetuity and the remainder variables associated to a subordinator
Francis Hirsch, Marc Yor
On local martingale and its supremum: harmonic functions and beyond
Jan Obloj, Marc Yor
Selfdecomposable Laws Associated with Hyperbolic Functins
Zbigniew J. Jurek, Marc Yor
The maximal drawdown of the Brownian meander
Yueyun Hu, Zhan Shi, Marc Yor
Further examples of explicit Krein representations of certain subordinators
Catherine Donati-Martin, Marc Yor
Where did the Brownian particle go?
Robin Pemantle, Yuval Peres, Jim Pitman +1
Some Connections Between (Sub)Critical Branching Mechanisms and Bernstein Functions
Jean Bertoin, Bernard Roynette, Marc Yor
The barnes G function and its relations with sums and products of generalized Gamma convolution variables
Ashkan Nikeghbali, Marc Yor
Exponential functionals of Brownian motion, II: Some related diffusion processes
Hiroyuki Matsumoto, Marc Yor
Some infinite divisibility properties of the reciprocal of planar Brownian motion exit time from a cone
Stavros Vakeroudis, Marc Yor
The characteristic polynomial of a random unitary matrix: a probabilistic approach
Paul Bourgade, Chris Hughes, Ashkan Nikeghbali +1
Asymptotic laws for compositions derived from transformed subordinators
Alexander Gnedin, Jim Pitman, Marc Yor
Some explicit Krein representations of certain subordinators, including the Gamma process
Catherine Donati-Martin, Marc Yor
Tanaka formula for symmetric Lévy processes
Paavo Salminen, Marc Yor
Around Tsirelson's equation, or: The evolution process may not explain everything
Kouji Yano, Marc Yor
Measuring the "non-stopping timeness" of ends of previsible sets
Ju-Yi Yen, Marc Yor
A new formula for some linear stochastic equations with applications
Offer Kella, Marc Yor
Increasing processes and the change of variables formula for non-decreasing functions
Jean Bertoin, Marc Yor
Options on Hedge Funds under the High Water Mark Rule
Marc Atlan, Hélyette Geman, Marc Yor
A guide to Brownian motion and related stochastic processes
Jim Pitman, Marc Yor
On the laws of first hitting times of points for one-dimensional symmetric stable Lévy processes
Kouji Yano, Yuko Yano, Marc Yor
A definition and some characteristic properties of pseudo-stopping times
Ashkan Nikeghbali, Marc Yor
Tilted stable subordinators, Gamma time changes and Occupation Time of rays by Bessel Spiders
Lancelot F. James, Marc Yor
From Black-Scholes and Dupire formulae to last passage times of local martingales. Part B : The finite time horizon
Amel Bentata, Marc Yor
CGMY and Meixner Subordinators are Absolutely Continuous with respect to One Sided Stable Subordinators
Dilip Madan, Marc Yor
Some explicit formulas for the Brownian bridge, Brownian meander and Bessel process under uniform sampling
Mathieu Rosenbaum, Marc Yor
Identities in law between quadratic functionals of bivariate Gaussian processes, through Fubini theorems and symmetric projections
Giovanni Peccati, Marc Yor
Some two-dimensional extensions of Bougerol's identity in law for the exponential functional of linear Brownian motion
Jean Bertoin, Daniel Dufresne, Marc Yor
Integrability properties and limit theorems for the exit time from a cone of planar Brownian motion
Stavros Vakeroudis, Marc Yor
Burkholder's submartingales from a stochastic calculus perspective
Giovanni Peccati, Marc Yor
Exponential functionals of Brownian motion and disordered systems
Alain Comtet, Cécile Monthus, Marc Yor
Limiting laws associated with Brownian motion perturbated by normalized exponential weights I
Bernard Roynette, Pierre Vallois, Marc Yor
The Mean First Rotation Time of a planar polymer
Stavros Vakeroudis, Marc Yor, David Holcman