Diffusion processes and their sample paths.
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Collected or selected works; reprintings or translations of classics (01A75) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Sample path properties (60G17) Diffusion processes (60J60) Brownian motion (60J65) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)
The monograph is a paperback version but otherwise identical to the second printing of 1974 (Zbl 0285.60063). It still remains one of the deepest treatments of diffusion processes -- with emphasis on the one- dimensional case. The book truly deserves its place in the ``Classics series.
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Cited in
(only showing first 100 items - show all)- On the excursion theory for linear diffusions
- A uniform law of iterated logarithm for Brownian motion on compact Riemannian manifolds
- The analysis of elliptic families. II: Dirac operators, êta invariants, and the holonomy theorem
- Geometric properties of 2-dimensional Brownian paths
- Sets avoided by Brownian motion
- Dynkin's isomorphism theorem and the Ray-Knight theorems
- On solutions to Itô stochastic differential equations
- A ratio inequality for Bessel processes.
- On the sample paths of Brownian motions on compact infinite dimensional groups
- On the physical interpretation of statistical data from black-box systems
- Removability of the logarithmic singularity for the elliptic PDEs with measurable coefficients and its consequences
- Fiber Brownian motion and the ``hot spots problem
- Skew-product decompositions of Brownian motions on manifolds: A probabilistic aspect of the Lichnerowicz--Szabo theorem
- Characterization of the least concave majorant of Brownian motion, conditional on a vertex point, with application to construction
- Efficient Markovian couplings: Examples and counterexamples.
- Feynman integrals with absorbing boundaries
- Semigroup-theoretic approach to diffusion in thin layers separated by semi-permeable membranes
- The Fleming-Viot process with McKean-Vlasov dynamics
- Diffusion approximation for a simple kinetic model with asymmetric interface
- Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis
- The distribution of strike size: empirical evidence from Europe and north America in the 19th and 20th centuries
- Some results on the Brownian meander with drift
- A note on the exact simulation of spherical Brownian motion
- Minimal Root's embeddings for general starting and target distributions
- Self-normalized Cramér type moderate deviations for martingales
- On a Feynman-Kac approach to growth-fragmentation semigroups and their asymptotic behaviors
- Singular perturbations involving fast diffusion
- Multidimensional sticky Brownian motions as limits of exclusion processes
- Harmonic statistics
- Iterated integrals with respect to Bessel processes
- Local time and the pricing of path-dependent options
- Time-changed CIR default intensities with two-sided mean-reverting jumps
- Nonintersecting Brownian excursions
- One-dimensional stepping stone models, sardine genetics and Brownian local time
- A scheme for simulating one-dimensional diffusion processes with discontinuous coefficients
- Simultaneous boundary hitting by coupled reflected Brownian motions
- Stochastic explosion and non-uniqueness for \(\alpha\)-Riccati equation
- Functional limit theorems for random walks perturbed by positive alpha-stable jumps
- Integration by parts formulas concerning maxima of some SDEs with applications to study on density functions
- The probability distributions of the first hitting times of Bessel processes
- Explicit solutions in one-sided optimal stopping problems for one-dimensional diffusions
- Fractional relaxation equations and Brownian crossing probabilities of a random boundary
- The snapping out Brownian motion
- First passage times of (reflected) Ornstein-Uhlenbeck processes over random jump boundaries
- Thick points for intersections of planar sample paths
- Solution Bounds for Elliptic Partial Differential Equations via Feynman-Kac Representation
- Asymptotics for recurrent diffusions with application to high frequency regression
- The solution to a second order linear ordinary differential equation with a non-homogeneous term that is a measure
- TheL1theory of estimation of monotone and unimodal densities
- On the distribution of the moment of the first exittime from an interval and value of overjump through borders interval for the processes with independent increments and random walk
- Koszul Complexes, Harmonic Oscillators, and the Todd Class
- On Fourier Multiplier Transformations of Banach-Valued Functions
- Brownian Motion With Polar Drift
- On Excursions of Reflecting Brownian Motion
- Reflecting diffusions and hyperbolic Brownian motions in multidimensional spheres
- Boundary Crossing Probabilities for Stationary Gaussian Processes and Brownian Motion
- The Two-Sided Stefan Problem with a Spatially Dependent Latent Heat
- Continuity of Multidimensional Brownian Local Times
- Optimal stopping problems for some Markov processes
- Functional iterations and stopping times for Brownian motion on the Sierpiński gasket
- On the Diffusion Coefficient: The Einstein Relation and Beyond
- scientific article; zbMATH DE number 1515832 (Why is no real title available?)
- Extension of positive definite functions
- Smooth upper bounds for the price function of American style options
- The spectral representation of Bessel processes with constant drift: applications in queueing and finance
- On the submartingale/supermartingale property of diffusions in natural scale
- Maximal displacement of a branching random walk in time-inhomogeneous environment
- Applying spectral form of mathematical description for representation of iterated stochastic integrals
- Statistical properties of sites visited by independent random walks
- Parameter estimation for the skew Ornstein-Uhlenbeck processes based on discrete observations
- Stochastic model of innovation diffusion that takes into account the changes in the total market volume
- Random matrices in non-confining potentials
- An averaging principle for fast diffusions in domains separated by semi-permeable membranes
- On the transition densities for reflected diffusions
- Selfsimilarity of diffusions’ first passage times
- Asymptotics for diffusion first-passage laws
- Pairs of complementary transmission conditions for Brownian motion
- Concatenation of Nonhonest Feller Processes, Exit Laws, and Limit Theorems on Graphs
- Weak equilibria for time‐inconsistent control: With applications to investment‐withdrawal decisions
- Functional convergence to the local time of a sticky diffusion
- On the expected volume of the Wiener sausage
- Weird Brownian motion
- Occupation and local times for skew Brownian motion with applications to dispersion across an interface
- Estimates on the speedup and slowdown for a diffusion in a drifted Brownian potential
- Erratum to: Diffusion at the random matrix hard edge
- Vibrations and fractional vibrations of rods, plates and Fresnel pseudo-processes
- Dependence on the initial moment of the measure of stability and instability of the zero solution to a differential system
- Scaling limit of a one-dimensional polymer in a repulsive i.i.d. environment
- New semigroups from old: an approach to Feller boundary conditions
- On the parametric description of log-growth rates of Romanian city sizes
- Golden and silver stationary points in probe particle dynamics within a modular domain
- Removability of the fundamental singularity for the heat equation and its consequences
- The first eigenvalue of one-dimensional elliptic operators with killing
- Pricing path-dependent equity and credit derivatives within a general hybrid equity-credit framework: a unified CTMC approximation approach
- An application of Sparre Andersen's fluctuation theorem for exchangeable and sign-invariant random variables
- Random monotone factorisations of the cycle and their lamination process
- The Steklov problem for exterior domains: asymptotic behavior and applications
- Approximation of skew Brownian motion by snapping-out Brownian motions
- Uniqueness, mixing, and optimal tails for Brownian line ensembles with geometric area tilt
- Excursions of diffusion processes and continued fractions
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