scientific article

zbMath0980.60099MaRDI QIDQ2714356

Frédérique Petit, Marc Yor, Philippe Carmona, Jim W. Pitman

Publication date: 13 June 2001

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

reflecting Brownian motion

Mathematics Subject Classification ID

Brownian motion (60J65) Diffusion processes (60J60) Local time and additive functionals (60J55)

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On the distribution of ranked heights of excursions of a Brownian bridge. ⋮ Pricing path-dependent options in a Black-Scholes market from the distribution of homogeneous Brownian functionals ⋮ An explicit solution to the Skorokhod embedding problem for functionals of excursions of Markov processes ⋮ A stochastically quasi-optimal search algorithm for the maximum of the simple random walk ⋮ An excursion approach to maxima of the Brownian bridge ⋮ An explicit Skorokhod embedding for the age of Brownian excursions and Azéma martingale. ⋮ An identity in law involving reflecting Brownian motion, derived from generalized arc-sine laws for perturbed Brownian motions

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