Marc Yor Marc Yor 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 Yor was a professor at the Paris VI University in Paris, France , from 1981 until his death in 2014.Humboldt Prize , the Montyon Prize , and was awarded the Ordre National du Merite by the French Republic . He was a member of the French Academy of Sciences .Jean-Francois Le Gall and Jean Bertoin .9 January 2014 at the age of 64.Books Yor, M.. Some Aspects of Brownian Motion . Part I: Some Special Functionals . Birkhäuser. Yor, M.. Some Aspects of Brownian Motion. Part II: Some Recent Martingale Problems . Birkhäuser. Revuz, D., & Yor, M.. Continuous martingales and Brownian motion . Springer. Yor, M.. On Exponential Functionals of Brownian Motion and Related Processes . Springer. Emery , M., & Yor, M... Séminaire de probabilités 1967-1980: a selection in Martingale theory . Springer. Chaumont, L. & Yor, M.. Exercises in Probability: A Guided Tour from Measure Theory to Random Processes , via Conditioning . Cambridge University Press. Mansuy, R. & Yor, M.. Random Times and Enlargements of Filtrations in a Brownian Setting . Springer. Mansuy, R. & Yor, M.. Aspects of Brownian Motion . Springer. Roynette, B. & Yor, M.. Penalising Brownian Paths . Springer. Jeanblanc, M. & Yor, M., Chesney, M.. Mathematical methods for financial markets . Springer. Profeta, C., Roynette, B. & Yor, M.. Option Prices as Probabilities . Springer. Hirsch, F., Profeta, C., Roynette, B. & Yor, M.. Peacocks and associated martingales, with explicit constructions . Springer.Main papers Yor, M.. Bessel processes, Asian options , and perpetuities. In Exponential Functionals of Brownian Motion and Related Processes . Springer Berlin Heidelberg. Pitman, J., & Yor, M.. The two-parameter Poisson-Dirichlet distribution derived from a stable subordinator. The Annals of Probability , 25, 855-900. Pitman, J., & Yor, M.. A decomposition of Bessel bridges. Probability Theory and Related Fields
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