scientific article; zbMATH DE number 4005284
From MaRDI portal
Publication:3756256
zbMATH Open0619.60072MaRDI QIDQ3756256FDOQ3756256
Publication date: 1987
Title of this publication is not available (Why is that?)
Recommendations
Cauchy principal valueBessel processesBrownian bridgeBrownian meanderBrownian motion and its local times
Cited In (65)
- On some properties of the fractional derivative of the Brownian local time
- Stable limit theorems for additive functionals of one-dimensional diffusion processes
- A remark on the Itô formula
- Series Expansions and Direct Inversion for the Heston Model
- Fractional diffusion limit for a kinetic Fokker-Planck equation with diffusive boundary conditions in the half-line
- Some comments on the paper “brownian bridge asymptotics for random mappings”
- Harmonic extension technique for non-symmetric operators with completely monotone kernels
- Title not available (Why is that?)
- Windings of planar processes, exponential functionals and Asian options
- Integral Representations of Certain Measures in the One-Dimensional Diffusions Excursion Theory
- Generalized covariances of multi-dimensional Brownian excursion local times.
- Stochastic integral equations for Walsh semimartingales
- Plane wave decomposition of even-dimensional Brownian local times
- Plane Brownian motion in a region with holes
- An integral functional driven by fractional Brownian motion
- Reflecting a Langevin process at an absorbing boundary
- Title not available (Why is that?)
- Lamperti-type laws
- The SDE solved by local times of a Brownian excursion or bridge derived from the height profile of a random tree or forest
- Probability laws related to the Jacobi theta and Riemann zeta functions, and Brownian excur\-sions
- The fractional derivative for fractional Brownian local time with Hurst index large than 1/2
- Excursions of a \(BES_ o(d)\) and its drift term \((0<d<1)\)
- 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 \(\mathbf n_{(-)}\)
- `True' self-avoiding walks with generalized bond repulsion on \(\mathbb{Z}\)
- On hitting times of affine boundaries by reflecting Brownian motion and Bessel processes
- An explicit Skorokhod embedding for the age of Brownian excursions and Azéma martingale.
- Bougerol's identity in law and extensions
- Time-changed local martingales under signed measures
- Boundary traces of shift-invariant diffusions in half-plane
- Rates of convergence of diffusions with drifted Brownian potentials
- A remarkable \(\sigma \)-finite measure on \(\mathcal C(\mathbb{R}_+,\mathbb{R})\) related to many Brownian penalisations
- An explicit solution to the Skorokhod embedding problem for functionals of excursions of Markov processes
- A parallel between Brownian bridges and gamma bridges
- Pricing path-dependent options in a Black-Scholes market from the distribution of homogeneous Brownian functionals
- Hybrid Atlas models
- Regularity of the Cauchy principal value of the local times of some Lévy processes
- Itô's excursion theory and its applications
- An interpretation and some generalizations of the Anderson-Darling statistics in terms of squared Bessel bridges
- On certain functionals of the maximum of Brownian motion and their applications
- Mouvement brownien, cônes et processus stables. (Brownian motion, cones and stable processes)
- Random Brownian scaling identities and splicing of Bessel processes
- On exact simulation algorithms for some distributions related to Jacobi theta functions
- On the distribution of Brownian areas
- Itô's excursion theory and random trees
- The Maximum of the Local Time of a Diffusion Process in a Drifted Brownian Potential
- Iterated foldings of discrete spaces and their limits: candidates for the role of Brownian map in higher dimensions
- One dimensional critical kinetic Fokker-Planck equations, Bessel and stable processes
- Annealed tail estimates for a Brownian motion in a drifted Brownian potential
- Un théorème de Ray-Knight lié au supremum des temps locaux browniens. (A Ray-Knight theorem related to suprema of Brownian local times)
- Integrability properties and limit theorems for the exit time from a cone of planar Brownian motion
- Une extension des théorèmes de Ray et Knight sur les temps locaux Browniens. (An extension of the theorems of Ray and Knight on Brownian local times)
- Time change approach to generalized excursion measures, and its application to limit theorems
- Chung's law for homogeneous Brownian functionals
- A stochastically quasi-optimal search algorithm for the maximum of the simple random walk
- Formation of large-scale random structure by competitive erosion
- Weak convergence of \(h\)-transforms for one-dimensional diffusions
- On positive and negative moments of the integral of geometric Brownian motions
- Stochastic Airy semigroup through tridiagonal matrices
- Infinitely divisible Wald's couples. Examples linked with the Euler gamma and the Riemann zeta functions.
- On the distribution of ranked heights of excursions of a Brownian bridge.
- Asymptotic properties for Cauchy's principal values of Brownian and random walk local time
- Title not available (Why is that?)
- Some explicit Krein representations of certain subordinators, including the gamma process
- Limiting laws associated with Brownian motion perturbated by normalized exponential weights
- Some Brownian functionals and their laws
This page was built for publication:
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3756256)
