A decomposition of the Brownian path
From MaRDI portal
Publication:1820516
DOI10.1016/0167-7152(87)90061-7zbMath0615.60075OpenAlexW2084140702MaRDI QIDQ1820516
Steven E. Shreve, Ioannis Karatzas
Publication date: 1987
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0167-7152(87)90061-7
Related Items
Some extensions of the arc sine law as partial consequences of the scaling property of Brownian motion ⋮ Optimal principal agent contracts for a class of incentive schemes: A characterization and the rate of approach to efficiency ⋮ Towards an example of a nonconvex monotone follower control problem ⋮ Probabilistic aspects of finite-fuel, reflected follower problems ⋮ Stochastic differential games with reflection and related obstacle problems for Isaacs equations ⋮ Comparison results for stochastic volatility models via coupling ⋮ Heuristic approach to some laws for brownian motion ⋮ Bankruptcy and expected utility maximization ⋮ Splitting at the infimum and excursions in half-lines for random walks and Lévy processes ⋮ A path decomposition for Lévy processes ⋮ Large deviations for the invariant measure of a reaction-diffusion equation with non-Gaussian perturbations ⋮ On the stochastic 3D Navier-Stokes-\(\alpha\) model of fluids turbulence ⋮ Un théorème de Ray-Knight lié au supremum des temps locaux browniens. (A Ray-Knight theorem related to suprema of Brownian local times) ⋮ A decomposition of the Brownian path ⋮ Thermodynamics for the zero-level set of the Brownian bridge ⋮ Backward stochastic differential equation with random measures ⋮ Volatility misspecification, option pricing and superreplication via coupling ⋮ Arcsine laws for random walks generated from random permutations with applications to genomics ⋮ Lagrange approach to the optimal control of diffusions
Cites Work