Summary
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.
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 | |
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