| Publication | Date of Publication | Type |
|---|
| From local volatility to local Lévy models | 2019-01-15 | Paper |
| Unifying the Dynkin and Lebesgue–Stieltjes formulae | 2018-09-26 | Paper |
| A Simple Stochastic Rate Model for Rate Equity Hybrid Products | 2018-09-05 | Paper |
| On increasing risk, inequality and poverty measures: peacocks, lyrebirds and exotic options | 2018-08-13 | Paper |
| On the Law of a Triplet Associated with the Pseudo-Brownian Bridge | 2018-06-21 | Paper |
| On peacocks and lyrebirds: Australian options, Brownian bridges, and the average of submartingales | 2018-05-25 | Paper |
| Grossissements de filtrations : grossissements initiaux et progressifs | 2018-03-07 | Paper |
| A guide to Brownian motion and related stochastic processes | 2018-02-26 | Paper |
| Kellerer’s Theorem Revisited | 2017-07-05 | Paper |
| Exercices sur les temps locaux de semi-martingales continues et les excursions browniennes | 2016-06-22 | Paper |
| ON VALUING STOCHASTIC PERPETUITIES USING NEW LONG HORIZON STOCK PRICE MODELS DISTINGUISHING BOOMS, BUSTS, AND BALANCED MARKETS | 2016-04-14 | Paper |
| Integral Representations of Certain Measures in the One-Dimensional Diffusions Excursion Theory | 2016-04-13 | Paper |
| Some explicit formulas for the Brownian bridge, Brownian meander and Bessel process under uniform sampling | 2016-02-12 | Paper |
| Random scaling and sampling of Brownian motion | 2016-01-12 | Paper |
| A Gaussian martingale which is the sum of two independent Gaussian non-semimartingales | 2015-12-01 | Paper |
| On the one-sided maximum of Brownian and random walk fragments and its applications to new exotic options called ``meander option | 2015-11-10 | Paper |
| Comparing Brownian Stochastic Integrals for the Convex Order | 2015-09-16 | Paper |
| Around Tsirelson's equation, or: the evolution process may not explain everything | 2015-08-25 | Paper |
| The maximal drawdown of the Brownian meander | 2015-08-17 | Paper |
| On a Flow of Transformations of a Wiener Space | 2015-07-02 | Paper |
| On Two Results of P. Deheuvels | 2015-06-24 | Paper |
| Some Topics in Probability Theory | 2015-06-24 | Paper |
| A new proof of Williams' decomposition of the Bessel process of dimension three with a look at last-hitting times | 2015-06-22 | Paper |
| A variant of Pitman's theorem on \((2J_s-R_s,s\geq 0)\) for a general transient Bessel process \(R_{(+)}\) and its implications for the corresponding Ito's measure \(\mathbf n_{(-)}\) | 2015-05-26 | Paper |
| How to make Dupire’s local volatility work with jumps | 2015-04-16 | Paper |
| Two price economies in continuous time | 2014-11-13 | Paper |
| Bid and ask prices as non-linear continuous time G-expectations based on distortions | 2014-11-06 | Paper |
| A scaling proof for Walsh's Brownian motion extended arc-sine law | 2014-09-24 | Paper |
| Moments of Wiener integrals for subordinators | 2014-09-22 | Paper |
| Pure jump increasing processes and the change of variables formula | 2014-09-22 | Paper |
| Illustration of various methods for solving partly Skorokhod's embedding problem | 2014-09-22 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4981684 | 2014-06-24 | Paper |
| Local times for functions with finite variation: two versions of Stieltjes change-of-variables formula | 2014-06-06 | Paper |
| On the expectation of normalized Brownian functionals up to first hitting times | 2014-05-02 | Paper |
| Sur l’œuvre de Paul Lévy | 2014-04-10 | Paper |
| Some two-dimensional extensions of Bougerol's identity in law for the exponential functional of linear Brownian motion | 2014-02-21 | Paper |
| On an identity in law between Brownian quadratic functionals | 2014-02-11 | Paper |
| Integrability properties and limit theorems for the exit time from a cone of planar Brownian motion | 2014-02-04 | Paper |
| Options on realized variance and convex orders | 2013-12-13 | Paper |
| On the remarkable Lamperti representation of the inverse local time of a radial Ornstein-Uhlenbeck process | 2013-10-21 | Paper |
| On the Mellin transforms of the perpetuity and the remainder variables associated to a subordinator | 2013-10-17 | Paper |
| Local times and excursion theory for Brownian motion. A tale of Wiener and Itô measures | 2013-08-07 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5326931 | 2013-08-01 | Paper |
| Retrieving Information from Subordination | 2013-07-08 | Paper |
| On hitting times of affine boundaries by reflecting Brownian motion and Bessel processes | 2013-04-05 | Paper |
| Applying Itō's motto: ``Look at the infinite dimensional picture by constructing sheets to obtain processes increasing in the convex order | 2013-04-05 | Paper |
| Some examples of Skorokhod embeddings obtained from the Azéma-Yor algorithm | 2013-01-24 | Paper |
| Last-Hitting Times and Williams' Decomposition of the Bessel Process of Dimension 3 at its Ultimate Minimum | 2013-01-11 | Paper |
| Measuring the ``non-stopping timeness of ends of previsible sets | 2012-11-09 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2902211 | 2012-08-17 | Paper |
| Stochastic processes with proportional increments and the last-arrival problem | 2012-08-14 | Paper |
| On temporally completely monotone functions for Markov processes | 2012-06-28 | Paper |
| Some infinite divisibility properties of the reciprocal of planar Brownian motion exit time from a cone | 2012-06-22 | Paper |
| The S&P 500 Index as a Sato Process Travelling at the Speed of the VIX | 2012-06-08 | Paper |
| A central limit theorem for a sequence of Brownian motions in the unit sphere in \(\mathbb R^{n}\) | 2012-05-18 | Paper |
| Correlation and the pricing of risks | 2012-03-06 | Paper |
| Small and big probability worlds | 2012-02-15 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3108274 | 2012-01-02 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3102729 | 2011-11-25 | Paper |
| From an Itô type calculus for Gaussian processes to integrals of log-normal processes increasing in the convex order | 2011-09-27 | Paper |
| Looking for martingales associated to a self-decomposable law | 2011-09-09 | Paper |
| The mean first rotation time of a planar polymer | 2011-08-23 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3001815 | 2011-05-31 | Paper |
| Call option prices based on Bessel processes | 2011-05-30 | Paper |
| Peacocks and associated martingales, with explicit constructions | 2011-05-26 | Paper |
| Local limit theorems for Brownian additive functionals and penalisation of Brownian paths, IX | 2011-03-31 | Paper |
| Constructing Self-Similar Martingales via Two Skorokhod Embeddings | 2011-03-30 | Paper |
| Truncation functions and Laplace transform | 2011-03-14 | Paper |
| Penalisation of a stable Lévy process involving its one-sided supremum | 2011-03-10 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3077817 | 2011-02-22 | Paper |
| Unifying constructions of martingales associated with processes increasing in the convex order, via Lévy and Sato sheets | 2010-11-19 | Paper |
| On constants related to the choice of the local time at 0, and the corresponding Itô measure for Bessel processes with dimension d = 2(1 − α ), 0 < α < 1 | 2010-08-13 | Paper |
| On Dufresne's Perpetuity, Translated and Reflected | 2010-08-02 | Paper |
| Exponential functionals of Lévy processes | 2010-06-29 | Paper |
| Exponential functionals of Brownian motion. I: Probability laws at fixed time | 2010-06-29 | Paper |
| Exponential functionals of Brownian motion. II: Some related diffusion processes | 2010-06-29 | Paper |
| Generalized gamma convolutions, Dirichlet means, Thorin measures, with explicit examples | 2010-06-29 | Paper |
| Some aspects of K. Itô's works | 2010-06-24 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3563036 | 2010-05-28 | Paper |
| Introducing the volume | 2010-05-21 | Paper |
| Some aspects of K. Itô's works | 2010-05-21 | Paper |
| A new formula for some linear stochastic equations with applications | 2010-05-06 | Paper |
| A construction of processes with one-dimensional martingale marginals, associated with a Lévy process, via its Lévy sheet | 2010-04-21 | Paper |
| PUT OPTION PRICES AS JOINT DISTRIBUTION FUNCTIONS IN STRIKE AND MATURITY: THE BLACK–SCHOLES CASE | 2010-02-05 | Paper |
| Penalisations of multidimensional Brownian motion, VI | 2010-01-21 | Paper |
| A construction of processes with one dimensional martingale marginals, based upon path-space Ornstein-Uhlenbeck processes and the Brownian sheet | 2010-01-21 | Paper |
| Option prices as probabilities. A new look at generalized Black-Scholes formulae | 2010-01-21 | Paper |
| A tribute to Professor Kiyosi Itô | 2010-01-15 | Paper |
| Exercises in Probability | 2010-01-12 | Paper |
| On the Laws of First Hitting Times of Points for One-Dimensional Symmetric Stable Lévy Processes | 2009-12-18 | Paper |
| Renewal series and square-root boundaries for Bessel processes | 2009-11-20 | Paper |
| The Barnes G function and its relations with sums and products of generalized gamma convolution variables | 2009-11-20 | Paper |
| J. L. Doob (27 February 1910-7 June 2004) | 2009-11-04 | Paper |
| Burkholder's submartingales from a stochastic calculus perspective | 2009-10-15 | Paper |
| Penalising symmetric stable Lévy paths | 2009-09-15 | Paper |
| Brownian penalisations related to excursion lengths. VII | 2009-08-24 | Paper |
| Fractional intertwinings between two Markov semigroups | 2009-08-10 | Paper |
| A global view of Brownian penalisations | 2009-07-10 | Paper |
| Unifying Black-Scholes type formulae which involve Brownian last passage times up to a finite horizon | 2009-05-29 | Paper |
| Ten penalisation results of Brownian motion involving its one-sided supremum until first and last passage times. VIII | 2009-02-10 | Paper |
| Some penalisations of the Wiener measure | 2009-02-06 | Paper |
| Itô's excursion theory and its applications | 2009-02-06 | Paper |
| On the excursion theory for linear diffusions | 2009-02-06 | Paper |
| How K. Itô revolutionized the study of stochastic processes | 2009-02-06 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5506182 | 2009-01-28 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5506183 | 2009-01-28 | Paper |
| Penalizing a BES ( d ) process (0 < d < 2) with a function of its local time, V | 2009-01-20 | Paper |
| Penalising Brownian paths. Dedicated to Frank Knight (1933-2007). | 2009-01-15 | Paper |
| Quasi-invariance properties of a class of subordinators | 2008-11-14 | Paper |
| The characteristic polynomial of a random unitary matrix: a probabilistic approach | 2008-11-07 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3533307 | 2008-10-23 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3533603 | 2008-10-23 | Paper |
| Some extensions of Pitman and Ray-Knight theorems for penalized Brownian motions and their local times, IV | 2008-10-22 | Paper |
| Mathematics and Finance | 2008-09-29 | Paper |
| Aspects of Brownian motion | 2008-09-25 | Paper |
| On the time to reach maximum for a variety of constrained Brownian motions | 2008-09-24 | Paper |
| From Black-Scholes and Dupire formulae to last passage times of local martingales. Part B : The finite time horizon | 2008-07-04 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3508008 | 2008-06-27 | Paper |
| From Black-Scholes and Dupire formulae to last passage times of local martingales. Part A : The infinite time horizon | 2008-06-02 | Paper |
| An arithmetic model for the total disorder process | 2008-04-03 | Paper |
| A remarkable \(\sigma \)-finite measure on \(\mathcal C(\mathbb{R}_+,\mathbb{R})\) related to many Brownian penalisations | 2007-11-30 | Paper |
| Euler's formulae for \(\zeta(2n)\) and products of Cauchy variables | 2007-11-19 | Paper |
| Further examples of explicit Krein representations of certain subordinators | 2007-11-09 | Paper |
| Tanaka Formula for Symmetric Lévy Processes | 2007-10-31 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5420977 | 2007-10-22 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5420978 | 2007-10-22 | Paper |
| The laws of Brownian local time integrals | 2007-09-19 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3591576 | 2007-09-11 | Paper |
| Probing option prices for information | 2007-08-17 | Paper |
| Some explicit Krein representations of certain subordinators, including the gamma process | 2007-08-10 | Paper |
| The Life and Scientific Work of Paul André Meyer (August 21st, 1934 - January 30th, 2003) “Un modèle pour nous tous” | 2007-07-24 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5294261 | 2007-07-24 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5294268 | 2007-07-24 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5294269 | 2007-07-24 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5292402 | 2007-06-21 | Paper |
| SELF-DECOMPOSABILITY AND OPTION PRICING | 2007-06-08 | Paper |
| On the Problem of Stochastic Integral Representations of Functionals of the Brownian Motion. II | 2007-05-03 | Paper |
| On some Fourier aspects of the construction of certain Wiener integrals | 2007-03-29 | Paper |
| On the construction of Wiener integrals with respect to certain pseudo-Bessel processes | 2007-01-09 | Paper |
| Limiting laws associated with Brownian motion perturbed by normalized exponential weights, I | 2007-01-08 | Paper |
| Limiting laws associated with Brownian motion perturbed by its maximum, minimum and local time, II | 2007-01-08 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3414492 | 2007-01-08 | Paper |
| Tilted stable subordinators, Gamma time changes and Occupation Time of rays by Bessel Spiders | 2007-01-02 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3412803 | 2007-01-02 | Paper |
| A chaotic representation property of the multidimensional Dunkl processes | 2006-11-08 | Paper |
| Perpetual integral functionals as hitting and occupation times | 2006-11-03 | Paper |
| A note on a.s. finiteness of perpetual integral functionals of diffusions | 2006-11-03 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5493562 | 2006-10-23 | Paper |
| Asymptotics for the distribution of lengths of excursions of a \(d\)-dimensional Bessel process \((0 < d < 2)\) | 2006-09-28 | Paper |
| Doob's maximal identity, multiplicative decompositions and enlargements of filtrations | 2006-09-26 | Paper |
| Asymptotic laws for regenerative compositions: gamma subordinators and the like | 2006-08-11 | Paper |
| Asymptotic laws for compositions derived from transformed subordinators | 2006-07-26 | Paper |
| Pricing options on realized variance | 2006-05-24 | Paper |
| On quadratic functionals of the Brownian sheet and related processes | 2006-04-28 | Paper |
| Mathematical methods for financial markets. | 2006-04-04 | Paper |
| Random times and enlargements of filtrations in a Brownian setting. | 2006-03-27 | Paper |
| Limiting laws for long Brownian bridges perturbed by their one-sided maximum. III | 2006-01-26 | Paper |
| CGMY and Meixner Subordinators are Absolutely Continuous with respect to One Sided Stable Subordinators | 2006-01-09 | Paper |
| An explicit Skorokhod embedding for the age of Brownian excursions and Azéma martingale. | 2005-11-29 | Paper |
| A note on a.s. finiteness of perpetual integral functionals of diffusions | 2005-11-14 | Paper |
| A definition and some characteristic properties of pseudo-stopping times | 2005-11-14 | Paper |
| Equivalent and absolutely continuous measure changes for jump-diffusion processes | 2005-11-08 | Paper |
| Options on Hedge Funds under the High Water Mark Rule | 2005-10-24 | Paper |
| Harnesses, Lévy bridges and Monsieur Jourdain | 2005-08-05 | Paper |
| Properties of perpetual integral functionals of Brownian motion with drift | 2005-08-04 | Paper |
| Infinitely divisible Wald's couples. Examples linked with the Euler gamma and the Riemann zeta functions. | 2005-08-04 | Paper |
| Limiting distributions associated with moments of exponential Brownian functionals | 2005-07-05 | Paper |
| Some properties of the Wishart processes and a matrix extension of the Hartman-Watson laws | 2005-07-01 | Paper |
| On the Markov-Krein identity and quasi-invariance of the gamma process | 2005-06-24 | Paper |
| The Comptes Rendus in Mathematics: past, present time, future. | 2005-06-23 | Paper |
| On striking identities about the exponential functionals of the Brownian bridge and Brownian motion | 2005-06-22 | Paper |
| The accuracy of Cauchy approximation for the windings of planar Brownian motion | 2005-06-22 | Paper |
| A clarification note about hitting times densities for Ornstein-Uhlenbeck processes | 2005-05-20 | Paper |
| Some new examples of Markov processes which enjoy the time-inversion property | 2005-05-03 | Paper |
| A remark about the norm of a Brownian bridge | 2005-04-21 | Paper |
| A study of the Hartman–Watson distribution motivated by numerical problems related to the pricing of Asian options | 2005-04-04 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4663799 | 2005-04-04 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4663800 | 2005-04-04 | Paper |
| A parallel between Brownian bridges and gamma bridges | 2005-04-04 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4662396 | 2005-03-30 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4663402 | 2005-03-30 | Paper |
| Selfdecomposable Laws Associated with Hyperbolic Functins | 2005-03-21 | Paper |
| Brownian analogues of Burke's theorem. | 2005-02-25 | Paper |
| Self-similar processes with independent increments associated with Lévy and Bessel processes. | 2005-02-25 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3154968 | 2005-01-14 | Paper |
| On the Problem of Stochastic Integral Representations of Functionals of the Brownian Motion. I | 2004-12-16 | Paper |
| Some Connections Between (Sub)Critical Branching Mechanisms and Bernstein Functions | 2004-12-16 | Paper |
| A trivariate law for certain processes related to perturbed Brownian motions | 2004-11-29 | Paper |
| Exercises in Probability | 2004-10-13 | Paper |
| Large deviations for squares of Bessel and Ornstein-Uhlenbeck processes | 2004-10-05 | Paper |
| Pricing path-dependent options in a Black-Scholes market from the distribution of homogeneous Brownian functionals | 2004-09-24 | Paper |
| Stochastic Volatility for Lévy Processes | 2004-08-23 | Paper |
| On an extension of Dufresne's relation between exponential Brownian functionals from opposite drifts to two different drifts: A short proof | 2004-08-06 | Paper |
| A stochastically quasi-optimal search algorithm for the maximum of the simple random walk | 2004-03-30 | Paper |
| Some absolute continuity relationships for certain anticipative transformations of geometric Brownian motions. | 2004-03-20 | Paper |
| Interpretation via Brownian motion of some independence properties between GIG and gamma variables. | 2004-03-14 | Paper |
| On Dufresne's relation between the probability laws of exponential functionals of Brownian motions with different drifts | 2004-02-08 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2782355 | 2004-02-08 | Paper |
| Limiting laws associated with Brownian motion perturbated by normalized exponential weights | 2004-01-28 | Paper |
| Limit Behavior of the "Horizontal-Vertical" Random Walk and Some Extensions of the Donsker-Prokhorov Invariance Principle | 2004-01-21 | Paper |
| Hitting, occupation and inverse local times of one-dimensional diffusions: Martingale and excursion approaches | 2003-11-20 | Paper |
| Infinitely Divisible Laws Associated with Hyperbolic Functions | 2003-11-17 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4432892 | 2003-11-02 | Paper |
| A solution to Skorokhod's embedding for linear Brownian motion and its local time | 2003-10-20 | Paper |
| On the entire moments of self-similar Markov processes and exponential functionals of Lévy processes | 2003-09-16 | Paper |
| Multi-self-similar Markov processes on \(\mathbb R_+^n\) and their Lamperti representations | 2003-08-14 | Paper |
| PASSPORT OPTIONS | 2003-08-13 | Paper |
| Optimal bounds for Cauchy approximations for the winding distribution of planar Brownian motion | 2003-08-06 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4416739 | 2003-08-05 | Paper |
| On the distribution of ranked heights of excursions of a Brownian bridge. | 2003-05-06 | Paper |
| Making Markov martingales meet marginals: With explicit constructions | 2003-04-07 | Paper |
| A large deviations principle related to the strong arc-sine law | 2003-04-03 | Paper |
| Linear transformations of two independent Brownian motions and orthogonal decompositions of Brownian filtrations | 2003-03-20 | Paper |
| On subordinators, self-similar Markov processes and some factorizations of the exponential variable | 2003-02-25 | Paper |
| A representation for non-colliding random walks | 2003-02-25 | Paper |
| A survey and some generalizations of Bessel processes | 2003-01-01 | Paper |
| Non-symmetric hitting distributions on the hyperbolic half-plane and subordinated perpetuities | 2002-12-15 | Paper |
| Comments on the life and mathematical legacy of Wolfgang Doeblin | 2002-11-21 | Paper |
| Stochastic volatility, jumps and hidden time changes | 2002-11-21 | Paper |
| Large deviations for the Bessel clock | 2002-09-24 | Paper |
| Canonical decomposition of linear transformations of two independent Brownian motions motivated by models of insider trading | 2002-08-29 | Paper |
| The entrance laws of self-similar Markov processes and exponential functionals of Lévy processes | 2002-08-28 | Paper |
| An infinite-dimensional analogue of the Lebesgue measure and distinguished properties of the gamma process | 2002-08-01 | Paper |
| Sur l'indépendance d'un temps d'arrêt T et de la position BT d'un mouvement brownien | 2002-05-20 | Paper |
| An Analogue of Pitman’s 2M — X Theorem for Exponential Wiener Functionals Part II: The Role of the Generalized Inverse Gaussian Laws | 2002-04-21 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2725615 | 2002-04-08 | Paper |
| A relationship between Brownian motions with opposite drifts via certain enlargements of the Brownian filtration | 2002-03-03 | Paper |
| On certain Markov processes attached to exponential functionals of Brownian motion; application to Asian options | 2002-02-17 | Paper |
| On independent times and positions for Brownian motions. | 2002-01-01 | Paper |
| On positive and negative moments of the integral of geometric Brownian motions | 2001-12-02 | Paper |
| Présentation du pli cacheté | 2001-11-12 | Paper |
| AFFINE RANDOM EQUATIONS AND THE TABLE (1 2) DISTRIBUTION | 2001-11-05 | Paper |
| Probability laws related to the Jacobi theta and Riemann zeta functions, and Brownian excursions | 2001-10-21 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2738722 | 2001-09-12 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2738736 | 2001-09-12 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4524301 | 2001-09-11 | Paper |
| Exponential functionals of Brownian motion and related processes | 2001-08-20 | Paper |
| Where did the Brownian particle go? | 2001-08-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4501626 | 2001-07-25 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2725577 | 2001-07-12 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2714356 | 2001-06-13 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2714357 | 2001-06-13 | Paper |
| The importance of strictly local martingales; applications to radial Ornstein-Uhlenbeck processes | 2001-05-13 | Paper |
| On Models of Default Risk | 2001-03-29 | Paper |
| Time Changes for Lévy Processes | 2001-03-29 | Paper |
| An analogue of Pitman’s 2M – X theorem for exponential Wiener functionals: Part I: A time-inversion approach | 2001-03-20 | Paper |
| On weak Brownian motions of arbitrary order | 2001-02-06 | Paper |
| An identity in law involving reflecting Brownian motion, derived from generalized arc-sine laws for perturbed Brownian motions | 2001-01-17 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4524565 | 2001-01-15 | Paper |
| Computations of moments for discounted Brownian additive functionals | 2000-08-30 | Paper |
| On Bougerol and Dufresne's identities for exponential Brownian functionals | 2000-08-16 | Paper |
| The joint law of the last zeros of Brownian motion and of its Lévy transform | 2000-08-10 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4952336 | 2000-07-12 | Paper |
| Abel transform and integrals of Bessel local times | 2000-06-07 | Paper |
| Distinguished properties of the gamma process and related topics | 2000-05-31 | Paper |
| Stochastic integrals of anticipating processes and predictable dual projections | 2000-05-09 | Paper |
| A version of Pitman's 2M — X theorem for geometric Brownian motions | 2000-05-09 | Paper |
| Some asymptotic properties of the local time of the uniform empirical process | 2000-04-10 | Paper |
| Some measure-valued Markov processes attached to occupation times of Brownian motion | 2000-04-09 | Paper |
| On certain discounted arc-sine laws | 2000-03-01 | Paper |
| Exponential functionals of Brownian motion and disordered systems | 2000-01-16 | Paper |
| Présentation du pli cacheté | 2000-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4213424 | 1999-11-16 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4213430 | 1999-11-07 | Paper |
| Random Brownian scaling identities and splicing of Bessel processes | 1999-10-31 | Paper |
| Notes on the Riemann \(\zeta\)-function. II | 1999-10-06 | Paper |
| Laplace transforms related to excursions of a one-dimensional diffusion | 1999-09-29 | Paper |
| Rates of convergence of diffusions with drifted Brownian potentials | 1999-08-31 | Paper |
| Beta-gamma random variables and intertwining relations between certain Markov processes | 1999-08-23 | Paper |
| Some changes of probabilities related to a geometric Brownian motion version of Pitman's \(2M-X\) theorem | 1999-08-22 | Paper |
| The law of the maximum of a Bessel bridge | 1999-08-22 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4395533 | 1999-07-19 | Paper |
| PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH | 1999-07-05 | Paper |
| On a formula of Takács for Brownian motion with drift | 1999-06-20 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4246909 | 1999-06-16 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4395534 | 1999-05-04 | Paper |
| Ranked functionals of Brownian excursions | 1999-04-26 | Paper |
| Lévy processes in finance: A remedy to the non-stationarity of continuous martingales | 1999-04-08 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4218372 | 1999-02-14 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4395532 | 1999-02-02 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4226355 | 1999-01-26 | Paper |
| Two chain-transformations and their applications to quantiles | 1999-01-18 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4213427 | 1998-11-25 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4213429 | 1998-11-25 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4213426 | 1998-11-22 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4220133 | 1998-11-22 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4220134 | 1998-11-22 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4395529 | 1998-08-04 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4349232 | 1998-05-04 | Paper |
| Some Brownian functionals and their laws | 1998-04-20 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4349251 | 1998-04-20 | Paper |
| Stochastic time changes in catastrophe option pricing | 1998-03-17 | Paper |
| Brownian Excursions and Parisian Barrier Options | 1998-02-18 | Paper |
| On Some Exponential‐Integral Functionals of Bessel Processes | 1998-01-21 | Paper |
| BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES | 1998-01-21 | Paper |
| The two-parameter Poisson-Dirichlet distribution derived from a stable subordinator | 1998-01-07 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5687111 | 1997-12-07 | Paper |
| The Feynman-Kac formula and decomposition of Brownian paths | 1997-10-08 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4349249 | 1997-08-11 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4349250 | 1997-08-11 | Paper |
| On an Identity in Law for the Variance of the Brownian Bridge | 1997-07-03 | Paper |
| Some independence results related to the arc-sine law | 1997-04-16 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4892167 | 1997-04-09 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3126393 | 1997-03-31 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4892163 | 1997-03-03 | Paper |
| Beta Variables as Times Spent in [0, ∞[ By Certain Perturbed Brownian Motions | 1996-12-12 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4896013 | 1996-11-24 | Paper |
| Random discrete distributions derived from self-similar random sets | 1996-11-13 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4279452 | 1996-08-27 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4279771 | 1996-08-27 | Paper |
| A proof of Dassios' representation of the \(\alpha\)-quantile of Brownian motion with drift | 1996-08-14 | Paper |
| Local times and almost sure convergence of semi-martingales | 1996-04-01 | Paper |
| Sur les fonctionnelles exponentielles de certains processus de lévy | 1996-01-28 | Paper |
| Symmetric stable processes, fubinfs theorem, and some extensions of the ciesielski-taylor identities in law | 1996-01-25 | Paper |
| The distribution of Brownian quantiles | 1996-01-15 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4848520 | 1995-11-26 | Paper |
| Some extensions of the arc sine law as partial consequences of the scaling property of Brownian motion | 1995-03-12 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4279453 | 1994-11-01 | Paper |
| On symmetric stable random variables and matrix transposition | 1994-10-10 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4279454 | 1994-09-08 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4303982 | 1994-09-08 | Paper |
| Central limit theorem for the intersection of two independent Wiener sausages | 1994-07-14 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4279446 | 1994-06-01 | Paper |
| Inequalities for Non-Moderate Functions of a Pair of Stochastic Processes | 1994-05-25 | Paper |
| From planar Brownian windings to Asian options | 1994-04-26 | Paper |
| On some examples of quadratic functionals of Brownian motion | 1994-02-17 | Paper |
| On an identity in law obtained by A. Földes and P. Révész | 1993-11-22 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5287433 | 1993-08-30 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4693741 | 1993-06-20 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4028981 | 1993-03-28 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4028982 | 1993-03-28 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4028983 | 1993-03-28 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4027483 | 1993-02-21 | Paper |
| Arcsine Laws and Interval Partitions Derived from a Stable Subordinator | 1993-02-18 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3997782 | 1993-01-23 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4016273 | 1992-12-10 | Paper |
| On some exponential functionals of Brownian motion | 1992-10-04 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4011214 | 1992-09-27 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4012542 | 1992-09-27 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4001128 | 1992-09-26 | Paper |
| Sur certaines fonctionnelles exponentielles du mouvement brownien réel | 1992-08-13 | Paper |
| Size-biased sampling of Poisson point processes and excursions | 1992-06-28 | Paper |
| Tsirel'son's equation in discrete time | 1992-06-28 | Paper |
| Fubini's theorem for double Wiener integrals and the variance of the Brownian path | 1992-06-26 | Paper |
| An explanation of the Ciesielski-Taylor theorem | 1992-06-26 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3975569 | 1992-06-26 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3975585 | 1992-06-26 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3975586 | 1992-06-26 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3975587 | 1992-06-26 | Paper |
| Etude asymptotique des nombres de tours de plusieurs mouvements browniens complexes corrélés | 1992-06-26 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3979070 | 1992-06-26 | Paper |
| Wiener Football | 1992-01-01 | Paper |
| Tanaka formulae and renormalization for triple intersections of Brownian motion in the plane | 1991-01-01 | Paper |
| Brownian crossings between spheres | 1990-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3210674 | 1990-01-01 | Paper |
| Enlacements du Mouvement Brownien Autour Des Courbes de L'Espace | 1990-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3477773 | 1990-01-01 | Paper |
| Further asymptotic laws of planar Brownian motion | 1989-01-01 | Paper |
| On stochastic areas and averages of planar Brownian motion | 1989-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3473910 | 1989-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3814507 | 1989-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3797994 | 1988-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3799450 | 1988-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3803947 | 1988-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3816802 | 1988-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3817397 | 1988-01-01 | Paper |
| Etude asymptotique des enlacements du mouvement Brownien autour des droites de l'espace | 1987-01-01 | Paper |
| Variations sur une formule de Paul Lévy. (Variations on a formula of Paul Levý) | 1987-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3756256 | 1987-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3757101 | 1987-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3757102 | 1987-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3025978 | 1987-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3025982 | 1987-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3025999 | 1987-01-01 | Paper |
| Étude asymptotique de certains mouvements browniens complexes avec drift | 1986-01-01 | Paper |
| Level crossings of a Cauchy process | 1986-01-01 | Paper |
| Asymptotic laws of planar Brownian motion | 1986-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4727959 | 1986-01-01 | Paper |
| Inequalities for a Pair of Processes Stopped at a Random Time | 1986-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3717957 | 1986-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3750741 | 1986-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3750742 | 1986-01-01 | Paper |
| A propos de l'inverse du mouvement brownien | 1985-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3676907 | 1985-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3676928 | 1985-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3684923 | 1985-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3684924 | 1985-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3685793 | 1985-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3696227 | 1985-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3706285 | 1985-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3706288 | 1985-01-01 | Paper |
| The asymptotic joint distribution of windings of planar Brownian motion | 1984-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3694339 | 1984-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3732690 | 1984-01-01 | Paper |
| An inequality for processes which satisfy Kolmogorov's continuity criterion. Application to continuous martingales | 1983-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3314690 | 1983-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3660633 | 1983-01-01 | Paper |
| On D. Williams' “Pinching Method” and Some Applications | 1982-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3673807 | 1982-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3938288 | 1982-01-01 | Paper |
| A decomposition of Bessel Bridges | 1982-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3945300 | 1982-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3949752 | 1982-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3959231 | 1982-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3962268 | 1982-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3965364 | 1982-01-01 | Paper |
| Semi-martingale inequalities via the Garsia-Rodemich-Rumsey lemma, and applications to local times | 1982-01-01 | Paper |
| Ecole d'ete de probabilités de Saint-Flour IX-1979. Ed. par P. L. Hennequin | 1981-01-01 | Paper |
| (Semi-) martingale inequalities and local times | 1981-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3906200 | 1981-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3906209 | 1981-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3911158 | 1981-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3911816 | 1981-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3923359 | 1981-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3928738 | 1981-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3933721 | 1981-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3862180 | 1980-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3862796 | 1980-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3866865 | 1980-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3870083 | 1980-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3870084 | 1980-01-01 | Paper |
| Loi de l'indice du lacet Brownien, et distribution de Hartman-Watson | 1980-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3880038 | 1980-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3884898 | 1980-01-01 | Paper |
| On extremal solutions of martingale problems | 1980-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4197130 | 1979-01-01 | Paper |
| Sur l'etude des martingales continues extrêmales | 1979-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3049602 | 1979-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3049603 | 1979-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3051154 | 1979-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3851367 | 1979-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3852878 | 1979-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3852893 | 1979-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3855899 | 1979-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3862179 | 1979-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3862795 | 1979-01-01 | Paper |
| Les inegalites de sous-martingales, comme consequences de la relation de domination | 1979-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3881648 | 1979-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3888249 | 1979-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4160165 | 1978-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4169488 | 1978-01-01 | Paper |
| [https://portal.mardi4nfdi.de/wiki/Publication:4170005 Calcul stochastique d�pendant d'un param�tre] | 1978-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4171362 | 1978-01-01 | Paper |
| Champs markoviens et mesures de Gibbs sur ${R}$ | 1978-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4172714 | 1978-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4172715 | 1978-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4174007 | 1978-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4185566 | 1978-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4197826 | 1978-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4197827 | 1978-01-01 | Paper |
| Nouveaux résultats sur le grossissement des tribus | 1978-01-01 | Paper |
| Changes of filtrations and of probability measures | 1978-01-01 | Paper |
| [https://portal.mardi4nfdi.de/wiki/Publication:4115871 �tude des solutions extr�males et repr�sentation int�grale des solutions pour certains probl�mes de martingales] | 1977-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4131359 | 1977-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4138811 | 1977-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4143954 | 1977-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4143958 | 1977-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4143967 | 1977-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4150927 | 1977-01-01 | Paper |
| Formule de Cauchy relative à certains lacets browniens | 1977-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4171331 | 1977-01-01 | Paper |
| Représentation intégrale de certaines mesures quasi-invariantes sur \(C(\mathbb{R})\). Mesures extrémales et propriété de Markov. (Intégral représentation of certain quasi invariant measures of \(C(\mathbb{R})\). Extremal measures and Markov property) | 1976-01-01 | Paper |
| [https://portal.mardi4nfdi.de/wiki/Publication:4076586 Repr�sentation des martingales de carr� integrable relative aux processus de Wiener et de Poisson � n param�tres] | 1976-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4095622 | 1976-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4098430 | 1976-01-01 | Paper |
| Une remarque sur les formes de dirichlet et les semi-martingales | 1976-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4107690 | 1976-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4176233 | 1976-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4077323 | 1975-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4098434 | 1975-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4102553 | 1975-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4164140 | 1975-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3880013 | 1975-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4048316 | 1974-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4766372 | 1974-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5684045 | 1973-01-01 | Paper |
