scientific article

zbMath1012.60003MaRDI QIDQ3150773

A. N. Borodin, Paavo H. Salminen

Publication date: 20 October 2002

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

Brownian motionOrnstein-Uhlenbeck processlocal timeFeynman-Kac formulastoppingBessel processesfirst hitting timeRay-Knight theoremsfirst range time

Mathematics Subject Classification ID

Brownian motion (60J65) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Markov processes (60Jxx) Stochastic processes (60Gxx)

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Part 1. General theory for viscous, incompressible fluids, Stochastic Lagrangian dynamics of vorticity. Part 2. Application to near-wall channel-flow turbulence, On the Ruin Problem with Investment When the Risky Asset Is a Semimartingale, On potential theory of hyperbolic Brownian motion with drift, Volterra integral equations of the first kind and applications to linear diffusions, On the Euler–Maruyama Scheme for Degenerate Stochastic Differential Equations with Non-sticky Condition, Interlacing Diffusions, On Drifting Brownian Motion Made Periodic, Analysis of Markov Chain Approximation for Option Pricing and Hedging: Grid Design and Convergence Behavior, A Singular Stochastic Control Problem with Interconnected Dynamics, Unnamed Item, Parameter Dependent Optimal Thresholds, Indifference Levels and Inverse Optimal Stopping Problems, Simulation of sample paths for Gauss-Markov processes in the presence of a reflecting boundary, Exact sampling of diffusions with a discontinuity in the drift, Analytic Expressions of the Solutions of Advection-Diffusion Problems in One Dimension with Discontinuous Coefficients, Discrete-type approximations for non-Markovian optimal stopping problems: Part I, Stochastic nonzero-sum games: a new connection between singular control and optimal stopping, A weak convergence approach to inventory control using a long-term average criterion, A Ruin Problem for a Two-Dimensional Brownian Motion with Controllable Drift in the Positive Quadrant, Itô vs Stratonovich in the presence of absorbing states, Universal bounds and monotonicity properties of ratios of Hermite and parabolic cylinder functions, Some explicit results on one kind of sticky diffusion, On the Brownian separable permuton, A Computational Approach to First Passage Problems of Reflected Hyperexponential Jump Diffusion Processes, Ruin probability in a two-dimensional model with correlated Brownian motions, Explicit asymptotics on first passage times of diffusion processes, Optimal Installation of Solar Panels with Price Impact: A Solvable Singular Stochastic Control Problem, Real Options Problem with Nonsmooth Obstacle, Markov chain approximation of one-dimensional sticky diffusions, Exact simulation of the genealogical tree for a stationary branching population and application to the asymptotics of its total length, Running supremum of Brownian motion in dimension 2: exact and asymptotic results, An occupation time related potential measure for diffusion processes, On future drawdowns of Lévy processes, Infinite systems of noncolliding generalized meanders and Riemann-Liouville differintegrals, A low-rank approach to the computation of path integrals, Boundary behavior of \(\alpha \)-harmonic functions on the complement of the sphere and hyperplane, On a class of singular stochastic control problems for reflected diffusions, Exponential convergence to quasi-stationary distribution and \(Q\)-process, Retrospective exact simulation of diffusion sample paths with applications, Brittle power: On Roman Emperors and exponential lengths of rule, Voltage noise influences action potential duration in cardiac myocytes, A class of solvable stopping games, Optimal stopping with information constraint, Optimal decision under ambiguity for diffusion processes, Exact simulation of final, minimal and maximal values of Brownian motion and jump-diffusions with applications to option pricing, A new approach for pricing discounted American options, On the exit time from open sets of some semi-Markov processes, Maximal operators of exotic and non-exotic Laguerre and other semigroups associated with classical orthogonal expansions, The first passage time on the (reflected) Brownian motion with broken drift hitting a random boundary, Last-passage time for linear diffusions and application to the emptying time of a box, A martingale analysis of first passage times of time-dependent Wiener diffusion models, An analytic expression for the distribution of the generalized Shiryaev-Roberts diffusion. The Fourier spectral expansion approach, Mapping properties of fundamental harmonic analysis operators in the exotic Bessel framework, Geometric Brownian motion with affine drift and its time-integral, Occupation times of Lévy-driven Ornstein-Uhlenbeck processes with two-sided exponential jumps and applications, Dividend optimisation: a behaviouristic approach, Extensions of Bougerol's identity in law and the associated anticipative path transformations, A direct solution method for pricing options involving the maximum process, Survival probability for super-Brownian motion with absorption, Some new infinite series expansions for the first passage time densities in a jump diffusion model with phase-type jumps, Dynamic risk-sharing game and reinsurance contract design, On ruin probabilities with investments in a risky asset with a regime-switching price, Wiener-Hopf factorization for arithmetic Brownian motion with time-dependent drift and volatility, Optimal risk-averse timing of an asset sale: trending versus mean-reverting price dynamics, Approximating the first passage time density from data using generalized Laguerre polynomials, Managing reputational risk in the decumulation phase of a pension fund, Multisource Bayesian sequential change detection, Bridging the first and last passage times for Lévy models, On two-dimensional extensions of Bougerol's identity in law, Busemann process and semi-infinite geodesics in Brownian last-passage percolation, Boundary traces of shift-invariant diffusions in half-plane, Inversion of analytic characteristic functions and infinite convolutions of exponential and Laplace densities, Critical exponents for a percolation model on transient graphs, Hedging variance options on continuous semimartingales, On the singular values of complex matrix Brownian motion with a matrix drift, Range of Brownian motion with drift, Mirror and synchronous couplings of geometric Brownian motions, On hyperbolic Bessel processes and beyond, Discussion of dynamic programming and linear programming approaches to stochastic control and optimal stopping in continuous time, Valuing equity-linked death benefits and other contingent options: a discounted density approach, Lipschitz minorants of Brownian motion and Lévy processes, Estimating the efficient price from the order flow: a Brownian Cox process approach, Time-changed CIR default intensities with two-sided mean-reverting jumps, On the tail asymptotics of the area swept under the Brownian storage graph, Distribution of sojourn time for a Brownian motion with jumps, The dynamic mixed hitting-time model for multiple transaction prices and times, Sharp heat kernel estimates in the Fourier-Bessel setting for a continuous range of the type parameter, Distributions of the location of maximuma and minimuma for diffusions with jumps, A limit theorem for local time and application to random sets, A result on the first-passage time of an Ornstein-Uhlenbeck process, Noncolliding Brownian motion and determinantal processes, One-dimensional stepping stone models, sardine genetics and Brownian local time, Simulation of Brownian motion at first-passage times, A note on the CIR process and the existence of equivalent martingale measures, On infinite horizon optimal stopping of general random walk, Diffusion local time storage, On a martingale associated to generalized Ornstein-Uhlenbeck processes and an application to finance, Dynamic Greeks, Hitting time and convergence rate bounds for symmetric Langevin diffusions, Estimates for the derivatives of the Poisson kernel on nilpotent meta-abelian groups, Two-sided bounds for degenerate processes with densities supported in subsets of \(\mathbb R^N\), On the history of the St. Petersburg school of probability and statistics. III: Distributions of functionals of processes, stochastic geometry, and extrema, Optimal stopping of a Brownian bridge with an unknown pinning point, A one-factor conditionally linear commodity pricing model under partial information, Localization of the continuous Anderson Hamiltonian in 1-d, Pricing formulae for derivatives in insurance using Malliavin calculus, Span observables: ``when is a foraging rabbit no longer hungry?, Supercritical branching Brownian motion with catalytic branching at the origin, Yukawa potential, panharmonic measure and Brownian motion, Stationary distributions and convergence for \(M/M/1\) queues in interactive random environment, Projections of scaled Bessel processs, Skew CIR process, conditional characteristic function, moments and bond pricing, High-dimensional Bayesian inference via the unadjusted Langevin algorithm, Maximal displacement and population growth for branching Brownian motions, On a strategic model of pollution control, Diffusion processes with identical bridges, Distribution of functionals of Brownian motion stopped at a moment inverse to the linear combination of local times, Distribution of additive functionals of the Brownian motion stopped at various random moment, Distributions of some functionals of the Brownian local time, Distributions of additive functionals of Brownian motion stopped at moments of maxima and minima of random times, Brownian directed polymers in random environment, On the optimal stopping problem for one-dimensional diffusions., First hitting times for doubly skewed Ornstein-Uhlenbeck processes, Large deviations for the boundary local time of doubly reflected Brownian motion, Resolvent-techniques for multiple exercise problems, Preemption games under Lévy uncertainty, The time of deducting fees for variable annuities under the state-dependent fee structure, Two-sided discounted potential measures for spectrally negative Lévy processes, Sobolev differentiable stochastic flows for SDEs with singular coefficients: applications to the transport equation, On the distribution of verhulst process, Sharp estimates of transition probability density for Bessel process in half-line, Optimal Closing of a Momentum Trade, Explicit Bounds for Approximation Rates of Boundary Crossing Probabilities for the Wiener Process, PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY, An algorithm to solve optimal stopping problems for one-dimensional diffusions, Unnamed Item, Some perpetual integral functionals of the three-dimensional Bessel process, Square-root boundaries for Bessel processes and the hitting times of radial Ornstein-Uhlenbeck processes, PRICING PERPETUAL TIMER OPTION UNDER THE STOCHASTIC VOLATILITY MODEL OF HULL–WHITE, Dynamics of Gamma Bursts in Local Field Potentials, Malliavin differentiability of the Heston volatility and applications to option pricing, The generalized perpetual American exchange-option problem, The Joint Laplace Transforms for Diffusion Occupation Times, The exact smile of certain local volatility models, Representations of the First Hitting Time Density of an Ornstein-Uhlenbeck Process¹, Brownian intersection local times: Exponential moments and law of large masses, A Unified Approach to Structural Change Tests Based on ML Scores,FStatistics, and OLS Residuals, Bounded Variation Control of Itô Diffusions with Exogenously Restricted Intervention Times, Joint Densities of First Hitting Times of a Diffusion Process Through Two Time-Dependent Boundaries, PRICING DERIVATIVES ON MULTISCALE DIFFUSIONS: AN EIGENFUNCTION EXPANSION APPROACH, Option Pricing in Some Non-Lévy Jump Models, STOCK LOANS, The limits of leverage, Bounds for perpetual American option prices in a jump diffusion model, The correlation of the maxima of correlated Brownian motions, Discretionary stopping of one-dimensional Itô diffusions with a staircase reward function, Tauberian theorem for harmonic mean of Stieltjes transforms and its applications to linear diffusions, On Goodness-of-Fit Tests for Aalen's Additive Risk Model, An Optimal Dividend Problem with Capital Injections over a Finite Horizon, Impulse control and expected suprema, The principle of not feeling the boundary for the SABR model, On first exit times and their means for Brownian bridges, Branching Brownian motion with spatially homogeneous and point-catalytic branching, Fractional thoughts, PRICING DOUBLE BARRIER OPTIONS ON HOMOGENEOUS DIFFUSIONS: A NEUMANN SERIES OF BESSEL FUNCTIONS REPRESENTATION, AMERICAN OPTIONS AND INCOMPLETE INFORMATION, Occupation Times, Drawdowns, and Drawups for One-Dimensional Regular Diffusions, A Measure Approach for Continuous Inventory Models: Discounted Cost Criterion, A Nonconvex Singular Stochastic Control Problem and its Related Optimal Stopping Boundaries, Threshold Strategies in Optimal Stopping Problem for One-Dimensional Diffusion Processes, Discounted optimal stopping problems in first-passage time models with random thresholds, Analysis of Markov Chain Approximation for Diffusion Models with Nonsmooth Coefficients, Elliptic PDEs with distributional drift and backward SDEs driven by a càdlàg martingale with random terminal time, Distribution of the coalescence times in a system of diffusion-aggregation of particle clusters in one dimension, Short Communication: Stability of Time-Inconsistent Stopping for One-Dimensional Diffusions, The Maximum of the Local Time of a Diffusion Process in a Drifted Brownian Potential