Publication:3077817

zbMath1224.60076MaRDI QIDQ3077817

Marc Yor, Pierre Vallois, Bernard Roynette

Publication date: 22 February 2011

zbMATH Keywords

Skorokhod problem; Laplace method; penalisation; one-sided maximum and minimum

Mathematics Subject Classification ID

60J25: Continuous-time Markov processes on general state spaces

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60J65: Brownian motion

60G40: Stopping times; optimal stopping problems; gambling theory

60G44: Martingales with continuous parameter

60J60: Diffusion processes

60G17: Sample path properties

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