Seminaire De Probabilitts XLI

by Donati-martin, Catherine; Emery, Michel; Rouault, Alain; Stricker, Christophe

• ISBN13: 9783540779124
• ISBN10: 3540779124
• Edition: 1st
• Format: Paperback
• Copyright: 2008-07-04
• Publisher: Springer Verlag

Summary

Stochastic processes are as usual the main subject of the Seminaire, with contributions on Brownian motion (fractional or other), Levy processes, martingales and probabilistic finance. Other probabilistic themes are also present: large random matrices, statistical mechanics. The contributions in this volume provide a sampling of recent results on these topics. All contributions with the exception of two are written in English language. Book jacket.

Table of Contents

Spectral gap inequality for a colored disordered lattice gas	p. 1
On large deviations for the spectral measure of discrete Coulomb gas	p. 19
Estimates for moments of random matrices with Gaussian elements	p. 51
Geometric interpretation of the cumulants for random matrices previously defined as convolutions on the symmetric group	p. 93
Fluctuations of spectrally negative Markov additive processes	p. 121
On Continuity Properties of the Law of Integrals of Levy Processes	p. 137
A Law of the Iterated Logarithm for Fractional Brownian Motions	p. 161
A simple theory for the study of SDEs driven by a fractional Brownian motion, in dimension one	p. 181
Proof of a Tanaka-like formula stated by J. Rosen in Seminaire XXXVIII	p. 199
Une preuve simple d'un resultat de Dufresne	p. 203
Creation or deletion of a drift on a Brownian trajectory	p. 215
Extending Chacon-Walsh: Minimality and Generalised Starting Distributions	p. 233
Transformations browniennes et complements independants: resultats et problemes ouverts	p. 265
Hyperbolic random walks	p. 279
The Hypergroup Property and Representation of Markov Kernels	p. 295
A new look at 'Markovian' Wiener-Hopf theory	p. 349
Separability and completeness for the Wasserstein distance	p. 371
A probabilistic interpretation to the symmetries of a discrete heat equation	p. 379
On the tail distributions of the supremum and the quadratic variation of a cadlag local martingale	p. 401
The Burkholder-Davis-Gundy Inequality for Enhanced Martingales	p. 421
On Martingale Selectors of Cone-Valued Processes	p. 439
No asymptotic free lunch reviewed in the light of Orlicz spaces	p. 443
New methods in the arbitrage theory of financial markets with transaction costs	p. 455
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