Marc Yor

According to our database, Marc Yor authored at least 11 papers between 1998 and 2017.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2017

Unifying the Dynkin and Lebesgue-Stieltjes formulae.

Offer Kella, Marc Yor

J. Appl. Probab., 2017

2011

On hitting times of affine boundaries by reflecting Brownian motion and Bessel processes.

Paavo Salminen, Marc Yor

Period. Math. Hung., 2011

2010

Applying Itô's motto: "Look at the infinite dimensional picture" by constructing sheets to obtain processes increasing in the convex order.

Francis Hirsch, Bernard Roynette, Marc Yor

Period. Math. Hung., 2010

2005

Limiting laws for long Brownian bridges perturbed by their one-sided maximum, III.

Bernard Roynette, Pierre Vallois, Marc Yor

Period. Math. Hung., 2005

Pricing options on realized variance.

Peter Carr, Hélyette Geman, Dilip B. Madan, Marc Yor

Finance Stochastics, 2005

2003

A clarification note about hitting times densities for Ornstein-Uhlenbeck processes.

Anja Göing-Jaeschke, Marc Yor

Finance Stochastics, 2003

2002

Stochastic volatility, jumps and hidden time changes.

Hélyette Geman, Dilip B. Madan, Marc Yor

Finance Stochastics, 2002

Comments on the life and mathematical legacy of Wolfgang Doeblin.

Bernard Bru, Marc Yor

Finance Stochastics, 2002

2000

The Accuracy of Cauchy Approximation for the Windings of Planar Brownian Motion.

Gyula Pap, Marc Yor

Period. Math. Hung., 2000

On Striking Identities About the Exponential Functionals of the Brownian Bridge and Brownian Motion.

Catherine Donati-Martin, Hiroyuki Matsumoto, Marc Yor

Period. Math. Hung., 2000

1998

Lévy processes in finance: a remedy to the non-stationarity of continuous martingales.

Boris Leblanc, Marc Yor

Finance Stochastics, 1998