Loi de l'indice du lacet Brownien, et distribution de Hartman-Watson

DOI10.1007/BF00531612zbMath0436.60057MaRDI QIDQ3876775

Publication date: 1980

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und verwandte Gebiete (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf00531612

zbMATH Keywords

Brownian bridge; Bessel functions; winding number; Bessel processes; complex Brownian motion; Hartman-Watson distribution

Mathematics Subject Classification ID

60J65: Brownian motion

60G44: Martingales with continuous parameter

60H05: Stochastic integrals

33C10: Bessel and Airy functions, cylinder functions, ({}_0F_1)

Related Items

BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES, A study of the Hartman–Watson distribution motivated by numerical problems related to the pricing of Asian options, On potential theory of hyperbolic Brownian motion with drift, Brownian Winding Fields, Windings of planar processes, exponential functionals and Asian options, The conformally invariant measure on self-avoiding loops, Closed form formulae for the heat kernels and the Green functions for the Laplacians on the symmetric spaces of rank one, Another look at the integral of exponential Brownian motion and the pricing of Asian options, On the density of the winding number of planar Brownian motion, Windings of planar random walks and averaged Dehn function, Infinite divisibility of solutions to some self-similar integro-differential equations and exponential functionals of Lévy processes, Harmonic analysis on constant curvature surfaces with point singularities, A jump to default extended CEV model: an application of Bessel processes, The expected area of the filled planar Brownian loop is \(\pi/5\), Prices and sensitivities of Asian options: A survey, An analytical inversion of a Laplace transform related to annuities certain, On the points around which the planar Brownian motion winds frequently, On the asymptotic behavior of the occupation time in cones of \(d\)-dimensional Brownian motion, A straightforward analytical calculation of the distribution of an annuity certain with stochastic interest rate, Stochastic time changes in catastrophe option pricing, Two-parameter Bessel processes, The spectral expansion approach to index transforms and connections with the theory of diffusion processes, Stochastic areas, winding numbers and Hopf fibrations, A remark about the norm of a Brownian bridge, The first exit time of planar Brownian motion from the interior of a parabola, Green's formula, planar Brownian bridge, and Lévy's area, Bougerol's identity in law and extensions, Limit theorems for loop soup random variables, Malliavin calculus for non-colliding particle systems, Spin systems from loop soups, Asymptotic windings of the block determinants of a unitary Brownian motion and related diffusions, Octonionic Brownian windings, Lévy area without approximation, Integral representations for the Hartman-Watson density, Time-changed Dirac-Fokker-Planck equations on the lattice, On some identities in law involving exponential functionals of Brownian motion and Cauchy random variable, Large time behavior of reaction-diffusion equations with Bessel generators, Winding of simple walks on the square lattice, Fractional intertwinings between two Markov semigroups, An analytic expression for the distribution of the generalized Shiryaev-Roberts diffusion. The Fourier spectral expansion approach, Integrability properties and limit theorems for the exit time from a cone of planar Brownian motion, The Laguerre process and generalized Hartman-Watson law, Infinitely divisible Wald's couples. Examples linked with the Euler gamma and the Riemann zeta functions., A reflection principle for correlated defaults, Methods for evaluating density functions of exponential functionals represented as integrals of geometric Brownian motion, Quaternionic Brownian windings, Bessel Processes, the Brownian Snake and Super-Brownian Motion, Explicit Formulae in Probability and in Statistical Physics, On the windings of complex-valued Ornstein–Uhlenbeck processes driven by a Brownian motion and by a stable process, On the Yor integral and a system of polynomials related to the Kontorovich–Lebedev transform, Windings of Planar Stable Processes, The Hartman-Watson Distribution Revisited: Asymptotics for Pricing Asian Options, On constructive complex analysis in finance: Explicit formulas for Asian options, Brownian motion in hyperspherical co-ordinates, A decomposition of Bessel Bridges

Cites Work