Séminaire de Probabilités XL

Front Matter....Pages I-XI
Front Matter....Pages 1-1
An Introduction to (Stochastic) Calculus with Respect to Fractional Brownian Motion....Pages 3-65
Front Matter....Pages 67-67
A Change-of-Variable Formula with Local Time on Surfaces....Pages 70-96
A Note on a Change of Variable Formula with Local Time-Space for Lévy Processes of Bounded Variation....Pages 97-104
Integration with Respect to Self-Intersection Local Time of a One-Dimensional Brownian Motion....Pages 105-116
Generalized Itǒ Formulae and Space-Time Lebesgue–Stieltjes Integrals of Local Times....Pages 117-136
Local Time-Space Calculus for Reversible Semimartingales....Pages 137-146
Elements of Stochastic Calculus via Regularization....Pages 147-185
On the Smooth-Fit Property for One-Dimensional Optimal Switching Problem....Pages 187-199
Front Matter....Pages 201-201
A Strong Form of Stable Convergence....Pages 203-225
Product of Harmonic Maps is Harmonic: A Stochastic Approach....Pages 227-233
More Hypercontractive Bounds for Deformed Orthogonal Polynomial Ensembles....Pages 235-240
No Multiple Collisions for Mutually Repelling Brownian Particles....Pages 241-246
On the Joint Law of the L1 and L2 Norms of a 3-Dimensional Bessel Bridge....Pages 247-264
Tanaka Formula for Symmetric Lévy Processes....Pages 265-285
An Excursion-Theoretical Approach to Some Boundary Crossing Problems and the Skorokhod Embedding for Reflected Lévy Processes....Pages 287-307
The Maximality Principle Revisited: On Certain Optimal Stopping Problems....Pages 309-328
Correlated Processes and the Composition of Generators....Pages 329-342
Representation of the Martingales for the Brownian Snake....Pages 343-354
Discrete Sampling of Functionals of Ito Processes....Pages 355-374
Ito\'s Integrated Formula for Strict Local Martingales with Jumps....Pages 375-388
Front Matter....Pages 201-201
Enlargement of Filtrations and Continuous Girsanov-Type Embeddings....Pages 389-410
On a Lemma by Ansel and Stricker....Pages 411-414
General Arbitrage Pricing Model: I – Probability Approach....Pages 415-445
General Arbitrage Pricing Model: II – Transaction Costs....Pages 447-461
General Arbitrage Pricing Model: III – Possibility Approach....Pages 463-481