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Marc Yor

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Marc Yor
Born(1949-07-24)24 July 1949
Died9 January 2014(2014-01-09) (aged 64)
NationalityFrench
Alma materEcole Normale Supérieure de Cachan (currently Ecole Normale Supérieure Paris-Saclay)
Known forFine properties of Brownian motion, Bessel processes, Lévy processes
AwardsHumboldt Prize
Scientific career
FieldsMathematics
InstitutionsParis VI University
Doctoral advisorPierre 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

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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

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Books

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  • 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

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  • 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

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  1. ^ Official webpage at the University of Paris
  2. ^ 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.
  3. ^ a b c d Official biography at the French Academy website Archived 2008-12-07 at the Wayback Machine
  4. ^ Jean-François Le Gall at the Mathematics Genealogy Project
  5. ^ Jean Bertoin at the Mathematics Genealogy Project