Filtrations browniennes et balayage
Finite utility on financial markets with asymmetric information and structure properties of the price dynamics
First order calculus and last entrance times
Fonctions aléatoires d'intervalle, IV
Formule de Cauchy relative à certains lacets browniens
Formule de Ito pour des processus non continus à valeurs dans des espaces de Banach
Formule d'Itô généralisée pour le mouvement brownien linéaire, d'après Föllmer Protter, Shiryaev
Formules de changement de variables
From an example of Lévy's
From Tanaka's formula to Ito's formula : distributions, tensor products and local times
Fubini's theorem for double Wiener integrals and the variance of the brownian path
Functionals on transient stochastic processes with independent increments
The paper is devoted to the study of integral functionals for a wide class of functions f and transient stochastic processes X(t,ω) with stationary and independent increments. In particular, for nonnegative processes a random analogue of the Tauberian theorem is obtained.
Gaussian approximations of multiple integrals.
Gaussian chaos and functional laws of the iterated logarithm for Ito-Wiener integrals
Generalization of the Girsanov theorem
Generalized random processes on the Zemanian space .
Generalized Random Processes on the Zemanian Space a
Géométrie stochastique sans larmes, I
Girsanov type formula for a Lie group valued brownian motion
Hedging in complete markets driven by normal martingales
This paper aims at a unified treatment of hedging in market models driven by martingales with deterministic bracket , including Brownian motion and the Poisson process as particular cases. Replicating hedging strategies for European, Asian and Lookback options are explicitly computed using either the Clark-Ocone formula or an extension of the delta hedging method, depending on which is most appropriate.