Marc Yor
| Marc Yor | |
|---|---|
| File:Marc yor.jpg | |
| Born | 24 July 1949 |
| Died | Script error: The function "death_date_and_age" does not exist. Paris, France |
| Nationality | French |
| Fields | Mathematics |
| Institutions | Paris VI University |
| Alma mater | Ecole normale supérieure de Cachan |
| Doctoral advisor | Pierre Priouret |
| Doctoral students | Dominique Bakry Fabrice Baudoin Jean Bertoin Philippe Biane Jean-François Le Gall |
Marc Yor (24 July 1949 – 9 January 2014) was a French mathematician well known for his work on stochastic processes, especially properties of semimartingales, Brownian motion and other Lévy processes, the Bessel processes, and their applications to mathematical finance.[1] He had an Erdös number of 2.[2]
Background
Yor was a professor[3] at the Paris VI University in Paris, France, from 1981 until his death in 2014.
He was a recipient of several awards, including the Humboldt Prize,[4] the Montyon Prize,[5] and was awarded the Ordre National du Merite[5] by the French Republic. He was a member[5] of the French Academy of Sciences. His students include such notable mathematicians as Jean-Francois Le Gall[6] and Jean Bertoin.[7]
He died on 9 January 2014 at the age of 64.[5]
Bibliography
Books
- Yor, M. (1992). Some Aspects of Brownian Motion. Part I: Some Special Functionals. Birkhäuser.
- Yor, M. (1997). Some Aspects of Brownian Motion. Part II: Some Recent Martingale Problems. Birkhäuser.
- Revuz, D., & Yor, M. (1999). Continuous martingales and Brownian motion. Springer.
- Yor, M. (2001). On Exponential Functionals of Brownian Motion and Related Processes. Springer.
- Emery, M., & Yor, M. (Eds.). (2002). Séminaire de probabilités 1967-1980: a selection in Martingale theory. Springer.
- Chaumont, L. & Yor, M. (2003). Exercises in Probability: A Guided Tour from Measure Theory to Random Processes, via Conditioning. Cambridge University Press.
- Mansuy, R. & Yor, M. (2006). Random Times and Enlargements of Filtrations in a Brownian Setting. Springer.
- Mansuy, R. & Yor, M. (2008). Aspects of Brownian Motion. Springer.
- Roynette, B. & Yor, M. (2009). Penalising Brownian Paths. Springer.
- Jeanblanc, M. & Yor, M., Chesney, M. (2009). Mathematical methods for financial markets. Springer.
- Profeta, C., Roynette, B. & Yor, M. (2010). Option Prices as Probabilities. Springer.
- Hirsch, F., Profeta, C., Roynette, B. & Yor, M. (2011). Peacocks and associated martingales, with explicit constructions. Springer.
Main papers
- Yor, M. (2001). Bessel processes, Asian options, and perpetuities. In Exponential Functionals of Brownian Motion and Related Processes (pp. 63-92). Springer Berlin Heidelberg.
- Pitman, J., & Yor, M. (1997). The two-parameter Poisson-Dirichlet distribution derived from a stable subordinator. The Annals of Probability, 25(2), 855-900.
- Geman, H., & Yor, M. (1996). Pricing and Hedging Double-Barrier Options: A Probabilistic Approach. Mathematical finance, 6(4), 365-378.
- Pitman, J., & Yor, M. (1982). A decomposition of Bessel bridges. Probability Theory and Related Fields, 59(4), 425-457.
References
- ↑ Keynote speaker at a recent conference
- ↑ AMS Collaboration Distance http://www.ams.org/mathscinet/collaborationDistance.html
- ↑ Official webpage at the University of Paris
- ↑ Lua error in package.lua at line 80: module 'strict' not found..
- ↑ 5.0 5.1 5.2 5.3 Official biography at the French Academy website
- ↑ Jean-François Le Gall at the Mathematics Genealogy Project
- ↑ Jean Bertoin at the Mathematics Genealogy Project
