Marc Yor (24 July 1949 – 9 January 2014) was a French mathematician well known for his work on
stochastic processes, especially properties of
semimartingale
In probability theory, a real valued stochastic process ''X'' is called a semimartingale if it can be decomposed as the sum of a local martingale and a càdlàg adapted finite-variation process. Semimartingales are "good integrators", forming the ...
s,
Brownian motion
Brownian motion, or pedesis (from grc, πήδησις "leaping"), is the random motion of particles suspended in a medium (a liquid or a gas).
This pattern of motion typically consists of random fluctuations in a particle's position insi ...
and other
Lévy processes
Levy, Lévy or Levies may refer to:
People
* Levy (surname), people with the surname Levy or Lévy
* Levy Adcock (born 1988), American football player
* Levy Barent Cohen (1747–1808), Dutch-born British financier and community worker
* Levy ...
, the
Bessel processes, and their applications to
mathematical finance.
Background
Yor was a professor at the
Paris VI University
Pierre and Marie Curie University (french: link=no, Université Pierre-et-Marie-Curie, UPMC), also known as Paris 6, was a public research university in Paris, France, from 1971 to 2017. The university was located on the Jussieu Campus in the La ...
in Paris, France, from 1981 until his death in 2014.
He was a recipient of several awards, including the
Humboldt Prize
The Humboldt Prize, the Humboldt-Forschungspreis in German, also known as the Humboldt Research Award, is an award given by the Alexander von Humboldt Foundation of Germany to internationally renowned scientists and scholars who work outside of G ...
, the
Montyon Prize
The Montyon Prize (french: Prix Montyon) is a series of prizes awarded annually by the French Academy of Sciences and the Académie française. They are endowed by the French benefactor Baron de Montyon.
History
Prior to the start of the French R ...
,
[Official biography at the French Academy website]
and was awarded the
Ordre National du Merite by the French Republic. He was a member
of the French Academy of Sciences.
His students include such notable mathematicians as
Jean-Francois Le Gall and
Jean Bertoin.
He died on 9 January 2014 at the age of 64.
[
]
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.
* Pitman, J., & Yor, M. (1982). A decomposition of Bessel bridges. ''Probability Theory and Related Fields'', 59(4), 425-457.
References
{{DEFAULTSORT:Yor, Marc
1949 births
2014 deaths
20th-century French mathematicians
Probability theorists
University of Paris alumni
Members of the French Academy of Sciences
Donegall Lecturers of Mathematics at Trinity College Dublin
Knights of the Ordre national du Mérite