Diffusion processes and their sample paths. 2nd printing, corrected

Publication date 1974

Measure-preserving transformations (28D05) 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)

Cited in

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Statistical inference for reciprocal gamma diffusion process
Structure of strictly Markov marked random closed sets
A ratio ergodic theorem for increasing additive functionals
Some connections between excursion theory and the discrete Schrödinger equation with random potentials
Grid-free simulation of diffusion using random wall methods
Mouvement brownien, cônes et processus stables. (Brownian motion, cones and stable processes)
The semimartingale decomposition of one-dimensional quasidiffusions with natural scale
A stochastic approach to the Shilov boundary
A representation of local time for Lipschitz surfaces
Regularity properties of Schrödinger and Dirichlet semigroups
On Edwards' model for long polymer chains
Finely holomorphic functions
Sticky Brownian motion as the strong limit of a sequence of random walks
Flat points of two-dimensional Brownian motion
On the decoupling of finite singularities from the question of asymptotic completeness in two body quantum systems
Différentiabilité fine, différentiabilité stochastique, différentiabilité stochastique de fonctions finement harmoniques
Pointwise bounds for Schrödinger eigenstates
A nonsymmetric correlation inequality for Gaussian measure
Asymptotic properties of some underdiagonal walks generation algorithms
Windings of Brownian motion and random walks in the plane
On the distribution of supremum of diffusion local time
A super-Brownian motion with a single point catalyst
Synchronization of firing times in a stochastic neural network model with excitatory connections
Almost-sure path properties of (2,d,)-superprocesses
Large finite population queueing systems: The single-server model
Divergent sums over excursions
On the distribution of Brownian areas
Moments in the duration of play
The rate of escape for some Gaussian processes and the scattering theory for their small perturbations
The harmonic measures of Lucy Garnett
On the properties of \(r\)-excessive mappings for a class of diffusions
Integrated Brownian motion, conditioned to be positive
Hitting distribution to a quadrant of two-dimensional random walk
Reaction-diffusion in a closed domain formed by irregular curves
On explicit occupation time distributions for Brownian processes
Some bivariate stochastic models arising from group representation theory
Path transformations for local times of one-dimensional diffusions
Diffusion transformations, Black-Scholes equation and optimal stopping
The combined effects of Feller diffusion and transcriptional/translational bursting in simple gene networks
Near critical preferential attachment networks have small giant components
Excessive measures for linear diffusions
Spread rate of branching Brownian motions
Timing in the presence of directional predictability: optimal stopping of skew Brownian motion
Bottom crossing probability for symmetric jump processes
Density symmetries for a class of 2-D diffusions with applications to finance
Limit theorems for local and occupation times of random walks and Brownian motion on a spider
On the semi-group of a scaled skew Bessel process
On moments of integral exponential functionals of additive processes
Fine properties of fractional Brownian motions on Wiener space
Spectral gaps without the pressure condition
Nash equilibria of threshold type for two-player nonzero-sum games of stopping
L^p-estimates on diffusion processes
A remark about the norm of a Brownian bridge
Geometry of spacetime propagation of spinning particles
Coupled Brownian motions and partial domain monotonicity for the Neumann heat kernel
Hitting time of a moving boundary for a diffusion
The one-dimensional diffusion process and unitary representations of R^ 1.
On the behavior of solutions to certain parabolic SPDE's driven by Wiener processes.
Zero temperature limit for interacting Brownian particles. II: Coagulation in one dimension.
Continuous integral kernels for unbounded Schrödinger semigroups and their spectral projections
Law of the iterated logarithm and local variations at zero of the sticky Brownian motion
The lifetime of conditioned diffusions associated with some degenerate elliptic operators
A strong approximation for logarithmic averages of partial sums of random variables
Hitting times of Bessel processes
Markov processes conditioned on their location at large exponential times
On optimal stopping of multidimensional diffusions
A joint Laplace transform for pre-exit diffusion of occupation times
On the multi-dimensional skew Brownian motion
Absolute continuity of diffusion bridges
On occupation times of one-dimensional diffusions
On the maximal displacement of near-critical branching random walks
Explicit solutions of Volterra integro-differential convolution equations
Time and place of the maximum for one-dimensional diffusion bridges and meanders
Sorting probability of Catalan posets
On the torsion function with mixed boundary conditions
Stopping spikes, continuation bays and other features of optimal stopping with finite-time horizon
Birth-death chains on a spider: spectral analysis and reflecting-absorbing factorization
Two continua of embedded regenerative sets
Silverstein extension and Fukushima extension
On the existence and the Hölder regularity of the local time of the Brownian bridge
On density functions related to discrete time maximum of some one-dimensional diffusion processes
Rate of escape of conditioned Brownian motion
Strong solutions of stochastic differential equations with generalized drift and multidimensional fractional Brownian initial noise
An ideal class to construct solutions for skew Brownian motion equations
Martingale estimation functions for Bessel processes
Minimising the expected commute time
Hua-Pickrell diffusions and Feller processes on the boundary of the graph of spectra
Fine mesh limit of the VRJP in dimension one and Bass-Burdzy flow
Construction of generalized diffusion processes: the resolvent approach
On the maximum increase and decrease of one-dimensional diffusions
Parameter estimation for non-stationary Fisher-Snedecor diffusion
An exponential timestepping algorithm for diffusion with discontinuous coefficients
Quenched distributions for the maximum, minimum and local time of the Brox diffusion
Diffusion occupation time before exiting
Invariant diffusion processes under Lie group actions
Optimal stopping of oscillating Brownian motion
Extreme at-the-money skew in a local volatility model
Discretionary stopping of stochastic differential equations with generalised drift
An analysis of budgeted parallel search on conditional Galton-Watson trees
Long-time heat kernel estimates and upper rate functions of Brownian motion type for symmetric jump processes

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