Distribution of the integral of maximum processes and applications (Q1633562): Difference between revisions

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+Density estimates for solutions to one dimensional backward SDE's
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+Random Fields and Geometry
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+Level Sets and Extrema of Random Processes and Fields
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+ON ONE-DIMENSIONAL STOCHASTIC DIFFERENTIAL EQUATIONS INVOLVING THE MAXIMUM PROCESS
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+The integral of geometric Brownian motion
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+Normal rank
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+Tail probabilities of solutions to a generalized Ait-Sahalia interest rate model
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+Tail probability estimates for additive functionals
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+Gaussian estimates for the solutions of some one-dimensional stochastic equations
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+A diffusion-type process with a given joint law for the terminal level and supremum at an independent exponential time
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+Optimal Stopping Problems in Diffusion-Type Models with Running Maxima and Drawdowns
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+Moments of gamma type and the Brownian supremum process area
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+Tail estimates for the Brownian excursion area and other Brownian areas
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+The Integral of the Supremum Process of Brownian Motion
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+Q4002114
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+Exponential functionals of Brownian motion. I: Probability laws at fixed time
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+Exponential functionals of Brownian motion. II: Some related diffusion processes
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+Density formula and concentration inequalities with Malliavin calculus
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+The Malliavin Calculus and Related Topics
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+The density of the solution to the stochastic transport equation with fractional noise
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+Stochastic analysis in discrete and continuous settings. With normal martingales.
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+Numerical simulation of a strongly nonlinear Ait-Sahalia-type interest rate model
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