Pages that link to "Item:Q5940715"
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The following pages link to Exponential functionals of Brownian motion and related processes (Q5940715):
Displayed 50 items.
- Integral representations for the Hartman-Watson density (Q2116476) (← links)
- Density estimates for the exponential functionals of fractional Brownian motion (Q2116735) (← links)
- Global existence and finite time blow-up for a stochastic non-local reaction-diffusion equation (Q2149477) (← links)
- Cut-off phenomenon for Ornstein-Uhlenbeck processes driven by Lévy processes (Q2184573) (← links)
- On some identities in law involving exponential functionals of Brownian motion and Cauchy random variable (Q2196538) (← links)
- Point-to-line last passage percolation and the invariant measure of a system of reflecting Brownian motions (Q2200494) (← links)
- The Hunter-Saxton equation with noise (Q2208456) (← links)
- Persistence and exit times for some additive functionals of skew Bessel processes (Q2224967) (← links)
- Exact conditions for no ruin for the generalised Ornstein-Uhlenbeck process (Q2270883) (← links)
- Sharp estimates for Geman-Yor processes and applications to arithmetic average Asian options (Q2274018) (← links)
- Large time behavior of reaction-diffusion equations with Bessel generators (Q2275516) (← links)
- Solvency need resulting from reserving risk in a ORSA context (Q2282735) (← links)
- A Hoeffding's inequality for uniformly ergodic diffusion process (Q2322596) (← links)
- Kolmogorov distance between the exponential functionals of fractional Brownian motion (Q2324104) (← links)
- Coupling all the Lévy stochastic areas of multidimensional Brownian motion (Q2370093) (← links)
- Exponential integrability of Itô's processes (Q2389270) (← links)
- Integrability properties and limit theorems for the exit time from a cone of planar Brownian motion (Q2435231) (← links)
- Some two-dimensional extensions of Bougerol's identity in law for the exponential functional of linear Brownian motion (Q2436060) (← links)
- Bounds for in-progress floating-strike Asian options using symmetry (Q2480218) (← links)
- A note on the CIR process and the existence of equivalent martingale measures (Q2482116) (← links)
- Infinitely divisible Wald's couples. Examples linked with the Euler gamma and the Riemann zeta functions. (Q2485446) (← links)
- Completeness of security markets and solvability of linear backward stochastic differential equations (Q2488814) (← links)
- Tail asymptotics for exponential functionals of Lévy processes (Q2490054) (← links)
- Discrete sums of geometric Brownian motions, annuities and Asian options (Q2520429) (← links)
- Lévy integrals and the stationarity of generalised Ornstein-Uhlenbeck processes (Q2568302) (← links)
- Asymmetric skew Bessel processes and their applications to finance (Q2571223) (← links)
- Equivalent and absolutely continuous measure changes for jump-diffusion processes (Q2572390) (← links)
- Existence of a fundamental solution of partial differential equations associated to Asian options (Q2665499) (← links)
- Extensions of Bougerol's identity in law and the associated anticipative path transformations (Q2668501) (← links)
- Limit theorems for discounted convergent perpetuities. II (Q2685145) (← links)
- On two-dimensional extensions of Bougerol's identity in law (Q2686011) (← links)
- BESSEL PROCESSES, STOCHASTIC VOLATILITY, AND TIMER OPTIONS (Q2788692) (← links)
- Large Deviations for Clocks of Self-similar Processes (Q2798590) (← links)
- Explicit Formulae in Probability and in Statistical Physics (Q2798593) (← links)
- Weak Stationarity of Ornstein-Uhlenbeck Processes with Stochastic Speed of Mean Reversion (Q2956051) (← links)
- Exit times densities of the Bessel process (Q2980835) (← links)
- A Generalization of Geometric Brownian Motion with Applications (Q3015918) (← links)
- Extreme value statistics from the real space renormalization group: Brownian motion, Bessel processes and continuous time random walks (Q3301119) (← links)
- On ladder height densities and Laguerre series in the study of stochastic functionals. II. Exponential functionals of Brownian motion and Asian option values (Q3417914) (← links)
- The square-root process and Asian options (Q3437388) (← links)
- A note on some new perpetuities (Q3440862) (← links)
- Differential equations and asymptotic solutions for arithmetic Asian options: ‘Black–Scholes formulae’ for Asian rate calls (Q3532293) (← links)
- ASYMPTOTIC BEHAVIOR OF DISTRIBUTION DENSITIES IN MODELS WITH STOCHASTIC VOLATILITY. I (Q3576957) (← links)
- On constructive complex analysis in finance: Explicit formulas for Asian options (Q3616463) (← links)
- On regularity properties of Bessel flow (Q3647585) (← links)
- An exponential functional of random walks (Q4435683) (← links)
- Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates (Q4464013) (← links)
- THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE (Q4653015) (← links)
- A study of the Hartman–Watson distribution motivated by numerical problems related to the pricing of Asian options (Q4660529) (← links)
- The log-normal approximation in financial and other computations (Q4662236) (← links)