What each probabilist should have readDEA DE PROBABILITÉS de l' UNIVERSITÉ de PARIS VI (98-99) From probabilités directed by J. Bertoin (jbe@ccr.jussieu.fr) Applied Probability ProgramProbability P. Billingsley : Probability and Measure. Wiley (Second edition, 1987). N. Bouleau : Processus stochastiques et applications. Hermann 1988. L. Breiman : Probability and Stochastic Processes. R. Durrett : Brownian motion and martingales in analysis. Wadsworth (1984). A. Shiryaev : Probability Theory. Simulations et Méthodes de Monte-Carlo Hua Loo Keng, Wang Yuan : Application of number theory to numerical analysis. Springer 1981. L. Devroye : Non uniform random variable generation. Springer 1986. N. Bouleau et D. Talay : Probabilités numériques. INRIA. N. Bouleau et D. Lépingle : Numerical methods for stochastic processes. Wiley 1994. Introduction aux processus stochastiques A. Shiryaev : Probability Theory. L. Breiman : Probability and Stochastic Processes. K.L. Chung, R. Williams : Introduction to stochastic integration. Birkhaüser. N. Bouleau : Processus stochastiques et applications. Hermann 1988. B. Oksendal : Stochastic Differential Equations. Springer. I. Karatzas, S. Shreve : Brownian motion and Stochastic calculus. Springer. R. Durrett : Brownian motion and martingales in analysis. Wadsworth (1984). Algorithmes stochastiques J. Neveu : Martingales à temps discret. Masson. A. Benvéniste, M. Métivier, P. Priouret : Algorithmes adaptatifs et approximation stochastiques. Masson, Paris, 1987. H.J. Kushner, D.S. Clark : Stochastic Approximation for Constrained and Unconstrained Systems. Applied Math. Science Series, 26, Springer, 1978, 261p. M. Duflo : Algorithmes stochastiques. Springer, Coll. Mathématiques et applications, 23, 1996. Théorèmes limites pour l'étude des files d'attente S. Asmussen : Applied Probability and Queues. John Wiley and Sons Ltd, 1987. A. Barbour , L. Holst and S. Janson : Poisson approximation. Oxford science publications, 1992. A. Dembo and 0. Zeitouni : Large deviations techniques and applications. Jones and Bartlett, 1983. ======================================Financial Mathematics ProgramAnalyse financière et Processus stochastiques M. Musiela - M. Rutkowski : Martingales Methods in Financial Modelling. Springer. T.E. Copeland and J.F. Weston : Financial theory and corporate-policy, (Addison-Wesley). J. Cox et M. Rubinstein : Options Market. (1985). R.A. Dana et M. Jeanblanc-Piqué : Marchés financiers en temps continu. Economica (1994). G. Demange et J.C. Rochet : Méthodes mathématiques de la Finance. Economica (1992). D. Duffie : Dynamic Asset Pricing. Princeton (1993). I. Karatzas and Shreve : Brownian motion and stochastic calculus. Springer (1987). D. Lamberton - B. Lapeyre : Introduction au calcul stochastique appliqué à la Finance. Ellipse (1991) . A.G. Malliaris and W.A. Brock : Stochastic Methods in Economica and Finance. North Holland, (1991). R. Dixit et Pindyck : Investment under uncertainty. Princeton (1994). AssurancesH. Niederreiter (1992) : Random generator and quasi-Monte Carlo methods. N. Newton (1994) : Variance reduction methods for diffusion process. E. Fournié, J.M. Lasry, P.L. Lions (1997) : Nonlinear methods in Finance. E. Fournié, J.M. Lasry, P.L. Lions, N. Touzi, T. Lebuchoux (1998) : Application of Mallilavin calculus in Finance. W.H. Press and al. (1992) : Numerical recepies. B. Lapeyre, E. Pardoux (1998) : Methodes de Monte Carlo pour les équations de transport et les diffusions. R. Dautray (1989) : Méthodes probabilistes pour les équations de la physique. Théorie financièreBrealey and Myers : Principles of Corporate Finance. Ferrandier et V. Koen : Marchés de capitaux et techniques financières. Economica. Kenneth Garbade : Securities Markets. Mac Graw-Hill. Copeland et Weston : Financial Theory and Corporate policy. Lessard : International Financial Management. Merton : Continuous Time Finance. Modélisation linéaire et non linéaire des séries temporellesA. Banerjee, J. Doleado, J. Galbraith and D. Hendry, 1993 : Co-integration, Error-correction, and the econometric analysis of non-stationary data. Oxford University Press. P. Brockwell and Davis, 1991 : Time series : theory and methods. Second edition. Springer-Verlag. W. Fuller, 1996 : Introduction to statistical time series. Second edition, Wiley. C. Gourieroux, 1997 : ARCH models and financial applications. Springer-Verlag. C.W.J. Granger and T. Teräsvirta, 1993 : Modelling nonlinear economic relationships. Oxford University Press. J. Hamilton, 1994 : Time series analysis. Princeton University Press. T.C. Mills, 1993 : The econometric modelling of financial time series. Cambridge University Press. G. Reinsel, 1997 : Elements of multivariate time series analysis. Second edition, Springer. N. Tong, 1990 : Non linear time series - A dynamic system approach. Clarendon Press Oxford. Futures et options C. Chazot et P. Claude, 1994 : Les swaps, concepts et applications. Economica. S. Hayat, P. Poncet et R. Portait, 1993 : Mathématiques financières, évaluation des actifs et analyse du risque. Dalloz. J. Hull,1993 : Options, futures and forwards. Prentice Hall International Editions. R.A. Dana et M. Jeanblanc Picqué, 1994 : Marchés financiers en temps continu, valorisation et équilibre. Economica. Modèles financiers Méthodes numériques et Statistiques D.P.Bertsekas : Dynamic Programming : Deterministic and Stochastic Models. Prentice-Hall, Englewood Cliffs, N.J., 1987. H.J. Kushner : Probability Methods for Approximations in Stochastic Control and for Elliptic Equations. Academic Press, New-York, 1977. D. Lamberton and B. Lapeyre : Une Introduction au Calcul Stochastique Appliquée à la Finance. Editions Eyrolles, 1997. H. Niederreiter : Random Number Generation and Quasi-Monte-Carlo Methods. CBMS-NSF Regional Conference Series in Appl. Math. SIAM, 1992. P.A. Raviart and J.M. Thomas : Introduction à l'analyse numérique des équations aux dérivées partielles. Masson, Paris, 1983. B.D. Ripley : Stochastic Simulation. Wiley 1987. D. Talay : Simulation and numerical analysis of stochastic differential systems : a review. In P. Krée and W. Wedig, editors, Probabilistic Methods in Applied Physics, volume 451 of Lecture Notes in Physics, chapter 3, pages 54-96. Springer-Verlag, 1995. B. Lapeyre, A. Sulem et D. Talay : Understanding Numerical Analysis for Option Pricing. En préparation, Cambridge University Press. Introduction aux processus stochastiques A. Shiryaev : Probability Theory. L. Breiman : Probability and Stochastic Processes. K.L. Chung, R. Williams : Introduction to stochastic integration. Birkhaüser. N. Bouleau : Processus stochastiques et applications. Hermann 1988. B. Oksendal : Stochastic Differential Equations. Springer. I. Karatzas, S. Shreve : Brownian motion and Stochastic calculus. Springer. R. Durrett : Brownian motion and martingales in analysis. Wadsworth (1984). ==================Stochastic Processes ProgramJ. BERTOIN : Mouvement brownien et calcul stochastique. K.L. Chung, R.J. Williams : Introduction to stochastic integration. Birkhauser (1990). C. Dellacherie et P.A. Meyer : Probabilités et Potentiels, Vol. II, Théorie des Martingales. Hermann. (1980). R. Durrett : Brownian motion and martingales in analysis. Wadsworth (1984). N. Ikeda, S. Watanabe : Stochastic differential equations and diffusion processes. North Holland (Second edition, 1988). D. Revuz, M. Yor : Continuous martingales and Brownian motion. Springer (1991). D.W. Stroock, S.R.S. Varadhan : Multidimensional diffusion processes. Springer (1979). I. Karatzas, S. Shreve : Brownian motion and stochastic calculus. Springer (1987). L.C.G. Rogers, D. Williams : Diffusions, Markov Processes and Martingales. Wiley (1987). Markov processes (Jacod)(no references given) S. MELEARD - C. DONATI : Martingales et théorèmes limites. Neveu : Martingales à temps discret. Masson (1972) Billingsley : Convergence of probability measures. Wiley (1969). Parthasarathy : Probability measures on metric spaces. Academic Press (1967). Jacod et Shiryaev : Limit theorems for stochastic processes. Springer (1987). Ethier et Kurtz : Markov processes. Characterization and convergence. Wiley (1986). Modèles probabilistes et systèmes dynamiques. R. Bowen : Equililibrium states and the ergodic theory of Anosov diffeomorphisms, Lectures Notes in Math. 470, Springer Verlag, (1975) S. Lalley : Probabilistic methods in certain counting problems in ergodic theory. In: Ergodic Theory, Symbolic Dynamics and Hyperbolic Spaces, Bedford, Keane, Series Ed. , Oxford University Press (1991) W. Parry : Topics in Ergodic Theory. Cambridge University Press, 75, (1981) W. Parry & M. Pollicott :Zeta Functions and the periodic orbit structure of hyperbolic dynamics. Astérisque 187-188, Soc. Math. France (1990) Ya. G. Sinai :Introduction to Ergodic Theory. Princeton University Press (1976) P. Walters :An introduction to Ergodic Theory. Graduate Textes in Maths 79, Springer-Verlag. C. LANDIM - S. OLLA : Limite hydrodynamique de systèmes de particules. M.D. Donsker and S.R.S. Varadhan (1989) : Large deviations from hydrodynamic scaling limit. Comm. Pure Appl. Math 42 243-270. M.Z. Guo, G.C. Papanicolaou and S.R.S. Varadhan (1988) : Nonlinear diffusion limit for a system with nearest neighbor interactions. Comm. Math. Phys. 118 31-59. C. Kipnis and C. Landim (1995) : Hydrodynamical Limit of Interacting Particle Systems. Preprint. C. Kipnis, S. Olla, S.R.S. Varadhan (1989) : Hydrodynamics and large deviations for simple exclusion processes. Comm. Pure Appl. Math., 42, 115-137. C. Kipnis, S.R.S. Varadhan : Central limit theorem for additive functionals of reversible Markov process and applications to simple exclusions. Comm. Math. Phys. 104, 1-19 (1986). C. Landim (1993) : Conservation of local equilibrium for asymmetric attractive particle systems on . Ann. Prob. 21 1782-1808. T.M Liggett (1985) : Interacting Particle Systems. Springer-Verlag, New York. S. Olla : Lectures on Homogenization of Diffusion Processes in Random Fields. Publications de l'Ecole Doctorale de l'Ecole Polytechnique, (1994). S. Olla, S.R.S. Varadhan et H.T. Yau : Hydrodynamic Limit for a Hamiltonian System with Weak Noise. Comm. Math. Phys. 155, 523-560 (1993). F. Rezakhanlou : Hydrodynamic limit for attractive particle systems on . Comm.Math.Phys. 140 417-448, (1990). H. Spohn : Large Scale Dynamics of Interacting Particles, Springer-Verlag New York (1991). H.T. Yau : Relative entropy and hydrodynamics of Ginsburg-Landau models. Lett. Math. Phys., 22, 63-80, (1991). A. MILLET : Grandes déviations et applications. R. Azencott : Grandes déviations et applications. Ecole d'Eté de Probabilités de Saint-Flour 1978. Lecture Notes in Math. 774, 1980. A. Dembo, O. Zeitouni : Large Deviations Techniques and Applications. Jones and Barlett Publishers, 1993. J.D. Deuschel, D.W. Stroock : Large Deviations. Academic Press Inc., 1989. S.R.S. Varadhan : Large Deviations. Ecole d'Eté de Probabilités de Saint-Flour 1985-87. Lecture Notes in Math. 1362, 1988. A. TSYBAKOV : Estimation fonctionnelle. A.P. Korostelev, A.B Tsybakov : Minimax theory of image reconstruction. Springer, N.Y. e.a., Lecture Notes in Statist. v. 82, 1993. I.A.Ibragimov, R.Z. Hasminskii : Statistical estimation: asymptotic theory. Springer, N.Y. e.a., 1981. M. Yor: Etude approfondie du mouvement brownien I. Karatzas - S. Shreve : Brownian motion and stochastic calculus. Springer (1987). J.F. Le Gall : Some properties of planar Brownian motion. In : Ecole d'Eté de Probabilités de Saint-Flour XX, 1990. Lecture Notes in Mathematics 1527. Springer (1992). D. Revuz - M. Yor : Continuous martingales and Brownian motion. Springer-Verlag, (1991). L.C.G. Rogers - D. Williams : Diffusions, Markov Processes and Martingales. Wiley (1987). Source http://math.uc.edu/~brycw/preprint/classic.htm

I doubt if we need all of them. How to use large deviation theory and interactive particle system to make decisions?

QuoteOriginally posted by: jfuquaWhat each probabilist should have readDEA DE PROBABILITÉS de l' UNIVERSITÉ de PARIS VI (98-99) From probabilités directed by J. Bertoin (jbe@ccr.jussieu.fr) Applied Probability ProgramProbability P. Billingsley : Probability and Measure. Wiley (Second edition, 1987). N. Bouleau : Processus stochastiques et applications. Hermann 1988. L. Breiman : Probability and Stochastic Processes. R. Durrett : Brownian motion and martingales in analysis. Wadsworth (1984). A. Shiryaev : Probability Theory. Simulations et Méthodes de Monte-Carlo Hua Loo Keng, Wang Yuan : Application of number theory to numerical analysis. Springer 1981. L. Devroye : Non uniform random variable generation. Springer 1986. N. Bouleau et D. Talay : Probabilités numériques. INRIA. N. Bouleau et D. Lépingle : Numerical methods for stochastic processes. Wiley 1994. Introduction aux processus stochastiques A. Shiryaev : Probability Theory. L. Breiman : Probability and Stochastic Processes. K.L. Chung, R. Williams : Introduction to stochastic integration. Birkhaüser. N. Bouleau : Processus stochastiques et applications. Hermann 1988. B. Oksendal : Stochastic Differential Equations. Springer. I. Karatzas, S. Shreve : Brownian motion and Stochastic calculus. Springer. R. Durrett : Brownian motion and martingales in analysis. Wadsworth (1984). Algorithmes stochastiques J. Neveu : Martingales à temps discret. Masson. A. Benvéniste, M. Métivier, P. Priouret : Algorithmes adaptatifs et approximation stochastiques. Masson, Paris, 1987. H.J. Kushner, D.S. Clark : Stochastic Approximation for Constrained and Unconstrained Systems. Applied Math. Science Series, 26, Springer, 1978, 261p. M. Duflo : Algorithmes stochastiques. Springer, Coll. Mathématiques et applications, 23, 1996. Théorèmes limites pour l'étude des files d'attente S. Asmussen : Applied Probability and Queues. John Wiley and Sons Ltd, 1987. A. Barbour , L. Holst and S. Janson : Poisson approximation. Oxford science publications, 1992. A. Dembo and 0. Zeitouni : Large deviations techniques and applications. Jones and Bartlett, 1983. Financial Mathematics ProgramAnalyse financière et Processus stochastiques M. Musiela - M. Rutkowski : Martingales Methods in Financial Modelling. Springer. T.E. Copeland and J.F. Weston : Financial theory and corporate-policy, (Addison-Wesley). J. Cox et M. Rubinstein : Options Market. (1985). R.A. Dana et M. Jeanblanc-Piqué : Marchés financiers en temps continu. Economica (1994). G. Demange et J.C. Rochet : Méthodes mathématiques de la Finance. Economica (1992). D. Duffie : Dynamic Asset Pricing. Princeton (1993). I. Karatzas and Shreve : Brownian motion and stochastic calculus. Springer (1987). D. Lamberton - B. Lapeyre : Introduction au calcul stochastique appliqué à la Finance. Ellipse (1991) . A.G. Malliaris and W.A. Brock : Stochastic Methods in Economica and Finance. North Holland, (1991). R. Dixit et Pindyck : Investment under uncertainty. Princeton (1994). AssurancesH. Niederreiter (1992) : Random generator and quasi-Monte Carlo methods. N. Newton (1994) : Variance reduction methods for diffusion process. E. Fournié, J.M. Lasry, P.L. Lions (1997) : Nonlinear methods in Finance. E. Fournié, J.M. Lasry, P.L. Lions, N. Touzi, T. Lebuchoux (1998) : Application of Mallilavin calculus in Finance. W.H. Press and al. (1992) : Numerical recepies. B. Lapeyre, E. Pardoux (1998) : Methodes de Monte Carlo pour les équations de transport et les diffusions. R. Dautray (1989) : Méthodes probabilistes pour les équations de la physique. Théorie financièreBrealey and Myers : Principles of Corporate Finance. Ferrandier et V. Koen : Marchés de capitaux et techniques financières. Economica. Kenneth Garbade : Securities Markets. Mac Graw-Hill. Copeland et Weston : Financial Theory and Corporate policy. Lessard : International Financial Management. Merton : Continuous Time Finance. Modélisation linéaire et non linéaire des séries temporellesA. Banerjee, J. Doleado, J. Galbraith and D. Hendry, 1993 : Co-integration, Error-correction, and the econometric analysis of non-stationary data. Oxford University Press. P. Brockwell and Davis, 1991 : Time series : theory and methods. Second edition. Springer-Verlag. W. Fuller, 1996 : Introduction to statistical time series. Second edition, Wiley. C. Gourieroux, 1997 : ARCH models and financial applications. Springer-Verlag. C.W.J. Granger and T. Teräsvirta, 1993 : Modelling nonlinear economic relationships. Oxford University Press. J. Hamilton, 1994 : Time series analysis. Princeton University Press. T.C. Mills, 1993 : The econometric modelling of financial time series. Cambridge University Press. G. Reinsel, 1997 : Elements of multivariate time series analysis. Second edition, Springer. N. Tong, 1990 : Non linear time series - A dynamic system approach. Clarendon Press Oxford. Futures et options C. Chazot et P. Claude, 1994 : Les swaps, concepts et applications. Economica. S. Hayat, P. Poncet et R. Portait, 1993 : Mathématiques financières, évaluation des actifs et analyse du risque. Dalloz. J. Hull,1993 : Options, futures and forwards. Prentice Hall International Editions. R.A. Dana et M. Jeanblanc Picqué, 1994 : Marchés financiers en temps continu, valorisation et équilibre. Economica. Modèles financiers Méthodes numériques et Statistiques D.P.Bertsekas : Dynamic Programming : Deterministic and Stochastic Models. Prentice-Hall, Englewood Cliffs, N.J., 1987. H.J. Kushner : Probability Methods for Approximations in Stochastic Control and for Elliptic Equations. Academic Press, New-York, 1977. D. Lamberton and B. Lapeyre : Une Introduction au Calcul Stochastique Appliquée à la Finance. Editions Eyrolles, 1997. H. Niederreiter : Random Number Generation and Quasi-Monte-Carlo Methods. CBMS-NSF Regional Conference Series in Appl. Math. SIAM, 1992. P.A. Raviart and J.M. Thomas : Introduction à l'analyse numérique des équations aux dérivées partielles. Masson, Paris, 1983. B.D. Ripley : Stochastic Simulation. Wiley 1987. D. Talay : Simulation and numerical analysis of stochastic differential systems : a review. In P. Krée and W. Wedig, editors, Probabilistic Methods in Applied Physics, volume 451 of Lecture Notes in Physics, chapter 3, pages 54-96. Springer-Verlag, 1995. B. Lapeyre, A. Sulem et D. Talay : Understanding Numerical Analysis for Option Pricing. En préparation, Cambridge University Press. Introduction aux processus stochastiques A. Shiryaev : Probability Theory. L. Breiman : Probability and Stochastic Processes. K.L. Chung, R. Williams : Introduction to stochastic integration. Birkhaüser. N. Bouleau : Processus stochastiques et applications. Hermann 1988. B. Oksendal : Stochastic Differential Equations. Springer. I. Karatzas, S. Shreve : Brownian motion and Stochastic calculus. Springer. R. Durrett : Brownian motion and martingales in analysis. Wadsworth (1984). Stochastic Processes ProgramJ. BERTOIN : Mouvement brownien et calcul stochastique. K.L. Chung, R.J. Williams : Introduction to stochastic integration. Birkhauser (1990). C. Dellacherie et P.A. Meyer : Probabilités et Potentiels, Vol. II, Théorie des Martingales. Hermann. (1980). R. Durrett : Brownian motion and martingales in analysis. Wadsworth (1984). N. Ikeda, S. Watanabe : Stochastic differential equations and diffusion processes. North Holland (Second edition, 1988). D. Revuz, M. Yor : Continuous martingales and Brownian motion. Springer (1991). D.W. Stroock, S.R.S. Varadhan : Multidimensional diffusion processes. Springer (1979). I. Karatzas, S. Shreve : Brownian motion and stochastic calculus. Springer (1987). L.C.G. Rogers, D. Williams : Diffusions, Markov Processes and Martingales. Wiley (1987). Markov processes (Jacod)(no references given) S. MELEARD - C. DONATI : Martingales et théorèmes limites. Neveu : Martingales à temps discret. Masson (1972) Billingsley : Convergence of probability measures. Wiley (1969). Parthasarathy : Probability measures on metric spaces. Academic Press (1967). Jacod et Shiryaev : Limit theorems for stochastic processes. Springer (1987). Ethier et Kurtz : Markov processes. Characterization and convergence. Wiley (1986). Modèles probabilistes et systèmes dynamiques. R. Bowen : Equililibrium states and the ergodic theory of Anosov diffeomorphisms, Lectures Notes in Math. 470, Springer Verlag, (1975) S. Lalley : Probabilistic methods in certain counting problems in ergodic theory. In: Ergodic Theory, Symbolic Dynamics and Hyperbolic Spaces, Bedford, Keane, Series Ed. , Oxford University Press (1991) W. Parry : Topics in Ergodic Theory. Cambridge University Press, 75, (1981) W. Parry & M. Pollicott :Zeta Functions and the periodic orbit structure of hyperbolic dynamics. Astérisque 187-188, Soc. Math. France (1990) Ya. G. Sinai :Introduction to Ergodic Theory. Princeton University Press (1976) P. Walters :An introduction to Ergodic Theory. Graduate Textes in Maths 79, Springer-Verlag. C. LANDIM - S. OLLA : Limite hydrodynamique de systèmes de particules. M.D. Donsker and S.R.S. Varadhan (1989) : Large deviations from hydrodynamic scaling limit. Comm. Pure Appl. Math 42 243-270. M.Z. Guo, G.C. Papanicolaou and S.R.S. Varadhan (1988) : Nonlinear diffusion limit for a system with nearest neighbor interactions. Comm. Math. Phys. 118 31-59. C. Kipnis and C. Landim (1995) : Hydrodynamical Limit of Interacting Particle Systems. Preprint. C. Kipnis, S. Olla, S.R.S. Varadhan (1989) : Hydrodynamics and large deviations for simple exclusion processes. Comm. Pure Appl. Math., 42, 115-137. C. Kipnis, S.R.S. Varadhan : Central limit theorem for additive functionals of reversible Markov process and applications to simple exclusions. Comm. Math. Phys. 104, 1-19 (1986). C. Landim (1993) : Conservation of local equilibrium for asymmetric attractive particle systems on . Ann. Prob. 21 1782-1808. T.M Liggett (1985) : Interacting Particle Systems. Springer-Verlag, New York. S. Olla : Lectures on Homogenization of Diffusion Processes in Random Fields. Publications de l'Ecole Doctorale de l'Ecole Polytechnique, (1994). S. Olla, S.R.S. Varadhan et H.T. Yau : Hydrodynamic Limit for a Hamiltonian System with Weak Noise. Comm. Math. Phys. 155, 523-560 (1993). F. Rezakhanlou : Hydrodynamic limit for attractive particle systems on . Comm.Math.Phys. 140 417-448, (1990). H. Spohn : Large Scale Dynamics of Interacting Particles, Springer-Verlag New York (1991). H.T. Yau : Relative entropy and hydrodynamics of Ginsburg-Landau models. Lett. Math. Phys., 22, 63-80, (1991). A. MILLET : Grandes déviations et applications. R. Azencott : Grandes déviations et applications. Ecole d'Eté de Probabilités de Saint-Flour 1978. Lecture Notes in Math. 774, 1980. A. Dembo, O. Zeitouni : Large Deviations Techniques and Applications. Jones and Barlett Publishers, 1993. J.D. Deuschel, D.W. Stroock : Large Deviations. Academic Press Inc., 1989. S.R.S. Varadhan : Large Deviations. Ecole d'Eté de Probabilités de Saint-Flour 1985-87. Lecture Notes in Math. 1362, 1988. A. TSYBAKOV : Estimation fonctionnelle. A.P. Korostelev, A.B Tsybakov : Minimax theory of image reconstruction. Springer, N.Y. e.a., Lecture Notes in Statist. v. 82, 1993. I.A.Ibragimov, R.Z. Hasminskii : Statistical estimation: asymptotic theory. Springer, N.Y. e.a., 1981. M. Yor: Etude approfondie du mouvement brownien I. Karatzas - S. Shreve : Brownian motion and stochastic calculus. Springer (1987). J.F. Le Gall : Some properties of planar Brownian motion. In : Ecole d'Eté de Probabilités de Saint-Flour XX, 1990. Lecture Notes in Mathematics 1527. Springer (1992). D. Revuz - M. Yor : Continuous martingales and Brownian motion. Springer-Verlag, (1991). L.C.G. Rogers - D. Williams : Diffusions, Markov Processes and Martingales. Wiley (1987). Source http://math.uc.edu/~brycw/preprint/classic.htmIf you look carefully you will see this list is broken up into several subsections. That is why I. Karatzas, S. Shreve : Brownian motion and stochastic calculus. Springer (1987) is mentioned five times, and there are others like this. Grimmett & Stirzaker is notable in its absence.

half of this stuff is french.

QuoteOriginally posted by: jawabeanhalf of this stuff is french.Hence mathematics departments having language exams.

QuoteP.A. Raviart and J.M. Thomas : Introduction à l'analyse numérique des équations aux dérivées partielles. Masson, Paris, 1983. I doubt if probability folk need to know this PDE/FEM? book.BTW where's Feller and Kolmogorov in list?

QuoteOriginally posted by: jfuquaQuoteOriginally posted by: jawabeanhalf of this stuff is french.Hence mathematics departments having language exams.disagreed. they have language exams so they can write in English

QuoteOriginally posted by: jawabeanQuoteOriginally posted by: jfuquaQuoteOriginally posted by: jawabeanhalf of this stuff is french.Hence mathematics departments having language exams.disagreed. they have language exams so they can write in English In finance that seems to be true. Philip Protter told me, and he seemed to be miffed about it, that in finance the French and Germans write their dissertations in English even if the title on the Web is in French/German. I have seen only a couple of dissertations or papers in German that were not also in English. But there seem to be quite a few untranslated finance papers in French esp. Denis Talay, Lamberton, Pages, etc. thought more seem to be in English as time goes on and Comptes rendus de l'Académie des sciences used to have a number of finance related articles but they seemed to have decreased, as with finance in Physics and non-probability/non-numerical methods journals, over the last few years. There are a number of Russian finance or finance-related articles but the only way I see them is in Theory of Probability and its Applications and I think they are still a year behind in bringing from Russian to English edition---the lag does seem to have improved in the last couple of years.