Marc Yor

11 papers Journal 11
YearRankTypeTitle / Venue / Authors
2017 J jnl
Unifying the Dynkin and Lebesgue-Stieltjes formulae.
J. Appl. Probab.
Offer Kella, Marc Yor
2011 J jnl
On hitting times of affine boundaries by reflecting Brownian motion and Bessel processes.
Period. Math. Hung.
Paavo Salminen, Marc Yor
2010 J jnl
Applying Itô's motto: "Look at the infinite dimensional picture" by constructing sheets to obtain processes increasing in the convex order.
Period. Math. Hung.
Francis Hirsch, Bernard Roynette, Marc Yor
2005 J jnl
Limiting laws for long Brownian bridges perturbed by their one-sided maximum, III.
Period. Math. Hung.
Bernard Roynette, Pierre Vallois, Marc Yor
2005 J jnl
Pricing options on realized variance.
Finance Stochastics
Peter Carr, Hélyette Geman, Dilip B. Madan, Marc Yor
2003 J jnl
A clarification note about hitting times densities for Ornstein-Uhlenbeck processes.
Finance Stochastics
Anja Göing-Jaeschke, Marc Yor
2002 J jnl
Comments on the life and mathematical legacy of Wolfgang Doeblin.
Finance Stochastics
Bernard Bru, Marc Yor
2002 J jnl
Stochastic volatility, jumps and hidden time changes.
Finance Stochastics
Hélyette Geman, Dilip B. Madan, Marc Yor
2000 J jnl
On Striking Identities About the Exponential Functionals of the Brownian Bridge and Brownian Motion.
Period. Math. Hung.
Catherine Donati-Martin, Hiroyuki Matsumoto, Marc Yor
2000 J jnl
The Accuracy of Cauchy Approximation for the Windings of Planar Brownian Motion.
Period. Math. Hung.
Gyula Pap, Marc Yor
1998 J jnl
Lévy processes in finance: a remedy to the non-stationarity of continuous martingales.
Finance Stochastics
Boris Leblanc, Marc Yor