Marc Yor - researchr alias

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Viewing Publication 1 - 11 from 11

2017

Unifying the Dynkin and Lebesgue-Stieltjes formulaeOffer Kella, Marc Yor. jap, 54(1):252-266, 2017. [doi]

2011

On hitting times of affine boundaries by reflecting Brownian motion and Bessel processesPaavo Salminen, Marc Yor. pmh, 62(1):75-101, 2011. [doi]

2010

Applying Itô's motto: "Look at the infinite dimensional picture" by constructing sheets to obtain processes increasing in the convex orderFrancis Hirsch, Bernard Roynette, Marc Yor. pmh, 61(1-2):195-211, 2010. [doi]

2005

Pricing options on realized variancePeter Carr, Hélyette Geman, Dilip B. Madan, Marc Yor. fs, 9(4):453-475, 2005. [doi]

Limiting laws for long Brownian bridges perturbed by their one-sided maximum, IIIBernard Roynette, Pierre Vallois, Marc Yor. pmh, 50(1-2):247-280, 2005. [doi]

2003

A clarification note about hitting times densities for Ornstein-Uhlenbeck processesAnja Göing-Jaeschke, Marc Yor. fs, 7(3):413-415, 2003. [doi]

2002

Comments on the life and mathematical legacy of Wolfgang DoeblinBernard Bru, Marc Yor. fs, 6(1):3-47, 2002. [doi]

Stochastic volatility, jumps and hidden time changesHélyette Geman, Dilip B. Madan, Marc Yor. fs, 6(1):63-90, 2002. [doi]

2000

On Striking Identities About the Exponential Functionals of the Brownian Bridge and Brownian MotionCatherine Donati-Martin, Hiroyuki Matsumoto, Marc Yor. pmh, 41(1-2):103-119, 2000. [doi]

The Accuracy of Cauchy Approximation for the Windings of Planar Brownian MotionGyula Pap, Marc Yor. pmh, 41(1-2):213-226, 2000. [doi]

1998

Lévy processes in finance: a remedy to the non-stationarity of continuous martingalesBoris Leblanc, Marc Yor. fs, 2(4):399-408, 1998. [doi]

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