Titlebook: In Memoriam Marc Yor - Séminaire de Probabilités XLVII; Catherine Donati-Martin,Antoine Lejay,Alain Rouaul Book 2015 Springer Internationa

PIZZA

On an Optional Semimartingale Decomposition and the Existence of a Deflator in an Enlarged Filtratiernative proofs of some results from Aksamit et al. (Non-arbitrage up to random horizon for semimartingale models, short version, preprint, 2014 [arXiv:1310.1142]), incorporating a different methodology based on our optional semimartingale decomposition.

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定点

宫殿般

Patterns in Random Walks and Brownian Motion,non-existence of continuous paths embedded in Brownian motion. With further effort we are able to prove some of these existence and non-existence results by various stochastic analysis arguments. A list of open problems is presented.

从容

On Sharp Large Deviations for the Bridge of a General Diffusion,ce of the drift . of .. It turns out that the sharp asymptotics for the exit probability are independent of the drift ., provided it satisfies a simple condition that is always satisfied in dimension 1. On the other hand we produce an example where this assumption is not satisfied and the drift is actually influential.

NICE

Integral Representations of Certain Measures in the One-Dimensional Diffusions Excursion Theory,t to hit 0. We illustrate the results for the pair . consisting of a recurrent Bessel process with dimension . . ∈ (0, 1), and a transient Bessel process with dimension .. Pair (RBM, BES(3)) is, clearly, obtained by choosing .

STANT

reserve

Martingale Inequalities for the Maximum via Pathwise Arguments,wo inequalities we specify martingales such that one or the other inequality is sharper. We use our inequalities to recover Doob’s .. inequalities. Further, for . = 1 we refine the known inequality and for . < 1 we obtain new inequalities.

勋章

On ,-Finite Measures Related to the Martin Boundary of Recurrent Markov Chains,resent paper, we give a classification of these measures, in function of the minimal Martin boundary of the Markov chain considered at the beginning. We apply this classification to the examples considered at the end of Najnudel et al. (., MSJ Memoirs, vol. 19, Mathematical Society of Japan, Tokyo, 2009).

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