Marc Yor

Affiliations:
  • Pierre-and-Marie-Curie University, Paris, France


According to our database1, Marc Yor authored at least 11 papers between 1998 and 2017.

Collaborative distances:
  • Dijkstra number2 of five.
  • Erdős number3 of four.

Timeline

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Links

Online presence:

On csauthors.net:

Bibliography

2017
Unifying the Dynkin and Lebesgue-Stieltjes formulae.
J. Appl. Probab., 2017

2011
On hitting times of affine boundaries by reflecting Brownian motion and Bessel processes.
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.
Period. Math. Hung., 2010

2005
Limiting laws for long Brownian bridges perturbed by their one-sided maximum, III.
Period. Math. Hung., 2005

Pricing options on realized variance.
Finance Stochastics, 2005

2003
A clarification note about hitting times densities for Ornstein-Uhlenbeck processes.
Finance Stochastics, 2003

2002
Stochastic volatility, jumps and hidden time changes.
Finance Stochastics, 2002

Comments on the life and mathematical legacy of Wolfgang Doeblin.
Finance Stochastics, 2002

2000
The Accuracy of Cauchy Approximation for the Windings of Planar Brownian Motion.
Period. Math. Hung., 2000

On Striking Identities About the Exponential Functionals of the Brownian Bridge and Brownian Motion.
Period. Math. Hung., 2000

1998
Lévy processes in finance: a remedy to the non-stationarity of continuous martingales.
Finance Stochastics, 1998


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