Marc Yor
Marc Yor | |
|---|---|
 | |
| Born | 24 July 1949 |
| Died | 9 January 2014 (aged 64) |
| Nationality | French |
| Alma mater | Ecole Normale Supérieure de Cachan (currently Ecole Normale Supérieure Paris-Saclay) |
| Known for | Fine properties of Brownian motion, Bessel processes, Lévy processes |
| Awards | Humboldt Prize |
| Scientific career | |
| Fields | Mathematics |
| Institutions | Paris VI University |
| Doctoral advisor | Pierre Priouret |
| Doctoral students | |
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.
Background
[edit]Yor was a professor[1] at the Paris VI University in Paris, France, from 1981 until his death in 2014.[citation needed]
He was a recipient of several awards, including the Humboldt Prize,[2] the Montyon Prize,[3] and was awarded the Ordre National du Merite[3] by the French Republic. He was a member[3] of the French Academy of Sciences. His students include such notable mathematicians as Jean-Francois Le Gall[4] and Jean Bertoin.[5]
He died on 9 January 2014 at the age of 64.[3]
Bibliography
[edit]Books
[edit]- 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
[edit]- 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.
- Pitman, J., & Yor, M. (1982). A decomposition of Bessel bridges. Probability Theory and Related Fields, 59(4), 425-457.
References
[edit]- ^ Official webpage at the University of Paris
- ^ Le Gall, Jean-François; Pitman, Jim (15 February 2014), "Obituary: Marc Yor 1949–2014", IMS Bulletin, archived from the original on 19 October 2014, retrieved 8 October 2014.
- ^ a b c d Official biography at the French Academy website Archived 2008-12-07 at the Wayback Machine
- ^ Jean-François Le Gall at the Mathematics Genealogy Project
- ^ Jean Bertoin at the Mathematics Genealogy Project
