Marc Yor

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
From local volatility to local Lévy models	2019-01-15	Paper
Unifying the Dynkin and Lebesgue–Stieltjes formulae Journal of Applied Probability	2018-09-26	Paper
A Simple Stochastic Rate Model for Rate Equity Hybrid Products Applied Mathematical Finance	2018-09-05	Paper
On increasing risk, inequality and poverty measures: peacocks, lyrebirds and exotic options Journal of Economic Dynamics and Control	2018-08-13	Paper
On the law of a triplet associated with the pseudo-Brownian bridge Lecture Notes in Mathematics	2018-06-21	Paper
On peacocks and lyrebirds: Australian options, Brownian bridges, and the average of submartingales Mathematical Finance	2018-05-25	Paper
Enlargements of filtrations: initial and progressive enlargements ESAIM: Proceedings and Surveys	2018-03-07	Paper
A guide to Brownian motion and related stochastic processes	2018-02-26	Paper
Kellerer's theorem revisited Asymptotic Laws and Methods in Stochastics	2017-07-05	Paper
Exercices sur les temps locaux de semi-martingales continues et les excursions browniennes	2016-06-22	Paper
On valuing stochastic perpetuities using new long horizon stock price models distinguishing booms, busts, and balanced markets Mathematical Finance	2016-04-14	Paper
Integral representations of certain measures in the one-dimensional diffusions excursion theory Lecture Notes in Mathematics	2016-04-13	Paper
Some explicit formulas for the Brownian bridge, Brownian meander and Bessel process under uniform sampling European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics	2016-02-12	Paper
Random scaling and sampling of Brownian motion Journal of the Mathematical Society of Japan	2016-01-12	Paper
A Gaussian martingale which is the sum of two independent Gaussian non-semimartingales Electronic Communications in Probability	2015-12-01	Paper
On the one-sided maximum of Brownian and random walk fragments and its applications to new exotic options called ``meander option'' Pacific Journal of Mathematics for Industry	2015-11-10	Paper
Comparing Brownian stochastic integrals for the convex order Modern Stochastics and Applications	2015-09-16	Paper
Around Tsirelson's equation, or: the evolution process may not explain everything Probability Surveys	2015-08-25	Paper
Around Tsirelson's equation, or: the evolution process may not explain everything Probability Surveys	2015-08-25	Paper
The maximal drawdown of the Brownian meander Electronic Communications in Probability	2015-08-17	Paper
On a flow of transformations of a Wiener space Springer Proceedings in Mathematics & Statistics	2015-07-02	Paper
On two results of P. Deheuvels Mathematical Statistics and Limit Theorems	2015-06-24	Paper
Some Topics in Probability Theory Mathematical Statistics and Limit Theorems	2015-06-24	Paper
A new proof of Williams' decomposition of the Bessel process of dimension three with a look at last-hitting times Bulletin of the Belgian Mathematical Society - Simon Stevin	2015-06-22	Paper
A variant of Pitman's theorem on \((2J_s-R_s,s\geq 0)\) for a general transient Bessel process \(R_{(+)}\) and its implications for the corresponding Ito's measure \(\mathbf n_{(-)}\) Journal of Theoretical Probability	2015-05-26	Paper
How to make Dupire's local volatility work with jumps Quantitative Finance	2015-04-16	Paper
Two price economies in continuous time Annals of Finance	2014-11-13	Paper
Bid and ask prices as non-linear continuous time G-expectations based on distortions Mathematics and Financial Economics	2014-11-06	Paper
A scaling proof for Walsh's Brownian motion extended arc-sine law Electronic Communications in Probability	2014-09-24	Paper
Moments of Wiener integrals for subordinators Electronic Communications in Probability	2014-09-22	Paper
Pure jump increasing processes and the change of variables formula Electronic Communications in Probability	2014-09-22	Paper
Illustration of various methods for solving partly Skorokhod's embedding problem Electronic Communications in Probability	2014-09-22	Paper
On weak and strong Brownian filtrations: definitions and examples	2014-06-24	Paper
Local times for functions with finite variation: two versions of Stieltjes change-of-variables formula Bulletin of the London Mathematical Society	2014-06-06	Paper
Local times for functions with finite variation: two versions of Stieltjes change-of-variables formula Bulletin of the London Mathematical Society	2014-06-06	Paper
On the expectation of normalized Brownian functionals up to first hitting times Electronic Journal of Probability	2014-05-02	Paper
Sur l’œuvre de Paul Lévy ESAIM: Probability and Statistics	2014-04-10	Paper
Some two-dimensional extensions of Bougerol's identity in law for the exponential functional of linear Brownian motion Revista Matemática Iberoamericana	2014-02-21	Paper
On an identity in law between Brownian quadratic functionals Statistics & Probability Letters	2014-02-11	Paper
Integrability properties and limit theorems for the exit time from a cone of planar Brownian motion Bernoulli	2014-02-04	Paper
Options on realized variance and convex orders Quantitative Finance	2013-12-13	Paper
On the remarkable Lamperti representation of the inverse local time of a radial Ornstein-Uhlenbeck process Bulletin of the Belgian Mathematical Society - Simon Stevin	2013-10-21	Paper
On the Mellin transforms of the perpetuity and the remainder variables associated to a subordinator Bernoulli	2013-10-17	Paper
On the Mellin transforms of the perpetuity and the remainder variables associated to a subordinator Bernoulli	2013-10-17	Paper
Local times and excursion theory for Brownian motion. A tale of Wiener and Itô measures Lecture Notes in Mathematics	2013-08-07	Paper
Some properties of the arc-sine law related to its invariance under a family of rational maps	2013-08-01	Paper
Retrieving information from subordination Springer Proceedings in Mathematics & Statistics	2013-07-08	Paper
On hitting times of affine boundaries by reflecting Brownian motion and Bessel processes Periodica Mathematica Hungarica	2013-04-05	Paper
Applying Itō's motto: ``Look at the infinite dimensional picture'' by constructing sheets to obtain processes increasing in the convex order Periodica Mathematica Hungarica	2013-04-05	Paper
Some examples of Skorokhod embeddings obtained from the Azéma-Yor algorithm Stochastic Processes and their Applications	2013-01-24	Paper
Last-Hitting Times and Williams' Decomposition of the Bessel Process of Dimension 3 at its Ultimate Minimum	2013-01-11	Paper
Measuring the ``non-stopping timeness'' of ends of previsible sets Taiwanese Journal of Mathematics	2012-11-09	Paper
Measuring the ``non-stopping timeness'' of ends of previsible sets Taiwanese Journal of Mathematics	2012-11-09	Paper
Exercises in probability. A guided tour from measure theory to random processes via conditioning. Cambridge Series in Statistical and Probabilistic Mathematics	2012-08-17	Paper
Stochastic processes with proportional increments and the last-arrival problem Stochastic Processes and their Applications	2012-08-14	Paper
On temporally completely monotone functions for Markov processes Probability Surveys	2012-06-28	Paper
Some infinite divisibility properties of the reciprocal of planar Brownian motion exit time from a cone Electronic Communications in Probability	2012-06-22	Paper
The S\&P 500 index as a Sato process travelling at the speed of the VIX Applied Mathematical Finance	2012-06-08	Paper
A central limit theorem for a sequence of Brownian motions in the unit sphere in \(\mathbb R^{n}\) Statistics & Probability Letters	2012-05-18	Paper
Correlation and the pricing of risks Annals of Finance	2012-03-06	Paper
Small and big probability worlds Banach Center Publications	2012-02-15	Paper
scientific article; zbMATH DE number 5993935 (Why is no real title available?)	2012-01-02	Paper
scientific article; zbMATH DE number 5979318 (Why is no real title available?)	2011-11-25	Paper
From an Itô type calculus for Gaussian processes to integrals of log-normal processes increasing in the convex order Journal of the Mathematical Society of Japan	2011-09-27	Paper
Looking for martingales associated to a self-decomposable law Electronic Journal of Probability	2011-09-09	Paper
The mean first rotation time of a planar polymer Journal of Statistical Physics	2011-08-23	Paper
scientific article; zbMATH DE number 5902263 (Why is no real title available?)	2011-05-31	Paper
Call option prices based on Bessel processes Methodology and Computing in Applied Probability	2011-05-30	Paper
Peacocks and associated martingales, with explicit constructions Bocconi & Springer Series	2011-05-26	Paper
Local limit theorems for Brownian additive functionals and penalisation of Brownian paths, IX ESAIM: Probability and Statistics	2011-03-31	Paper
Constructing Self-Similar Martingales via Two Skorokhod Embeddings Séminaire de Probabilités XLIII	2011-03-30	Paper
Truncation functions and Laplace transform Statistics & Probability Letters	2011-03-14	Paper
Penalisation of a stable Lévy process involving its one-sided supremum Annales de l'Institut Henri Poincaré. Probabilités et Statistiques	2011-03-10	Paper
Penalisations of Brownian motion with its maximum and minimum processes as weak forms of Skorokhod embedding	2011-02-22	Paper
Unifying constructions of martingales associated with processes increasing in the convex order, via Lévy and Sato sheets Expositiones Mathematicae	2010-11-19	Paper
On constants related to the choice of the local time at \(0\), and the corresponding Itô measure for Bessel processes with dimension \(d=2(1-\alpha), 0<\alpha<1\) Studia Scientiarum Mathematicarum Hungarica	2010-08-13	Paper
On Dufresne's Perpetuity, Translated and Reflected Stochastic Processes and Applications to Mathematical Finance	2010-08-02	Paper
Exponential functionals of Lévy processes Probability Surveys	2010-06-29	Paper
Exponential functionals of Lévy processes Probability Surveys	2010-06-29	Paper
Exponential functionals of Brownian motion. I: Probability laws at fixed time Probability Surveys	2010-06-29	Paper
Exponential functionals of Brownian motion. I: Probability laws at fixed time Probability Surveys	2010-06-29	Paper
Exponential functionals of Brownian motion. II: Some related diffusion processes Probability Surveys	2010-06-29	Paper
Exponential functionals of Brownian motion. II: Some related diffusion processes Probability Surveys	2010-06-29	Paper
Generalized gamma convolutions, Dirichlet means, Thorin measures, with explicit examples Probability Surveys	2010-06-29	Paper
Generalized gamma convolutions, Dirichlet means, Thorin measures, with explicit examples Probability Surveys	2010-06-29	Paper
Some aspects of K. Itô's works European Mathematical Society Newsletter	2010-06-24	Paper
scientific article; zbMATH DE number 5713885 (Why is no real title available?)	2010-05-28	Paper
Some aspects of K. Itô's works Stochastic Processes and their Applications	2010-05-21	Paper
Introducing the volume Stochastic Processes and their Applications	2010-05-21	Paper
A new formula for some linear stochastic equations with applications The Annals of Applied Probability	2010-05-06	Paper
A construction of processes with one-dimensional martingale marginals, associated with a Lévy process, via its Lévy sheet Journal of Mathematics of Kyoto University	2010-04-21	Paper
PUT OPTION PRICES AS JOINT DISTRIBUTION FUNCTIONS IN STRIKE AND MATURITY: THE BLACK–SCHOLES CASE International Journal of Theoretical and Applied Finance	2010-02-05	Paper
A construction of processes with one dimensional martingale marginals, based upon path-space Ornstein-Uhlenbeck processes and the Brownian sheet Journal of Mathematics of Kyoto University	2010-01-21	Paper
Option prices as probabilities. A new look at generalized Black-Scholes formulae Springer Finance	2010-01-21	Paper
Penalisations of multidimensional Brownian motion, VI ESAIM: Probability and Statistics	2010-01-21	Paper
A tribute to Professor Kiyosi Itô Stochastic Processes and their Applications	2010-01-15	Paper
Exercises in Probability	2010-01-12	Paper
On the laws of first hitting times of points for one-dimensional symmetric stable Lévy processes Lecture Notes in Mathematics	2009-12-18	Paper
Renewal series and square-root boundaries for Bessel processes Electronic Communications in Probability	2009-11-20	Paper
Renewal series and square-root boundaries for Bessel processes Electronic Communications in Probability	2009-11-20	Paper
Renewal series and square-root boundaries for Bessel processes Electronic Communications in Probability	2009-11-20	Paper
The Barnes G function and its relations with sums and products of generalized gamma convolution variables Electronic Communications in Probability	2009-11-20	Paper
The Barnes G function and its relations with sums and products of generalized gamma convolution variables Electronic Communications in Probability	2009-11-20	Paper
The Barnes G function and its relations with sums and products of generalized gamma convolution variables Electronic Communications in Probability	2009-11-20	Paper
J. L. Doob (27 February 1910-7 June 2004) The Annals of Probability	2009-11-04	Paper
Burkholder's submartingales from a stochastic calculus perspective Illinois Journal of Mathematics	2009-10-15	Paper
Burkholder's submartingales from a stochastic calculus perspective Illinois Journal of Mathematics	2009-10-15	Paper
Penalising symmetric stable Lévy paths Journal of the Mathematical Society of Japan	2009-09-15	Paper
Penalising symmetric stable Lévy paths Journal of the Mathematical Society of Japan	2009-09-15	Paper
Brownian penalisations related to excursion lengths. VII Annales de l'Institut Henri Poincaré. Probabilités et Statistiques	2009-08-24	Paper
Fractional intertwinings between two Markov semigroups Potential Analysis	2009-08-10	Paper
A global view of Brownian penalisations MSJ Memoirs	2009-07-10	Paper
A global view of Brownian penalisations MSJ Memoirs	2009-07-10	Paper
Unifying Black-Scholes type formulae which involve Brownian last passage times up to a finite horizon Asia-Pacific Financial Markets	2009-05-29	Paper
Ten penalisation results of Brownian motion involving its one-sided supremum until first and last passage times. VIII Journal of Functional Analysis	2009-02-10	Paper

Research outcomes over time

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