scientific article; zbMATH DE number 3736754

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The calculation of expectations for classes of diffusion processes by Lie symmetry methods
Propriétés d'intersection des marches aléatoires. I: Convergence vers le temps local d'intersection. (Properties of intersection of random walks. I: Convergence to local time intersection)
Mouvement brownien, cônes et processus stables. (Brownian motion, cones and stable processes)
Generalized gamma convolutions and complete monotonicity
Conditioning a diffusion at first-passage and last-exit times, and a mirage arising in drug therapy for HIV
An excursion approach to Ray-Knight theorems for perturbed Brownian motion
From planar Brownian windings to Asian options
Dynkin's isomorphism theorem and the Ray-Knight theorems
Some Brownian functionals and their laws
A ratio inequality for Bessel processes.
Generalized Lévy stochastic areas and selfdecomposability.
Interpretation via Brownian motion of some independence properties between GIG and gamma variables.
A conversation with Jim Pitman
On the semi-group of a scaled skew Bessel process
Conditioned stochastic differential equations: theory, examples and application to finance.
Self-similar processes with independent increments associated with Lévy and Bessel processes.
A remark about the norm of a Brownian bridge
Some new examples of Markov processes which enjoy the time-inversion property
Queues in tandem with customer deadlines and retrials
On hitting times of affine boundaries by reflecting Brownian motion and Bessel processes
The joint distribution of the hitting time and place to a sphere or spherical shell for Brownian motion with drift
Multiplier theorems via martingale transforms
Malliavin calculus for non-colliding particle systems
Independent factorization of the last zero arcsine law for Bessel processes with drift
Choquet random sup-measures with aggregations
The Brownian disk viewed from a boundary point
Stationary points in coalescing stochastic flows on \(\mathbb{R}\)
Some properties of bifractional Bessel processes driven by bifractional Brownian motion
Dynamics of the time to the most recent common ancestor in a large branching population
On a gateway between continuous and discrete Bessel and Laguerre processes
Cycle symmetry, limit theorems, and fluctuation theorems for diffusion processes on the circle
Iterated integrals with respect to Bessel processes
Markovian bridges: weak continuity and pathwise constructions
Enlargements of filtrations and path decompositions at non stopping times
Towards a characterization of Markov processes enjoying the time-inversion property
A definition and some characteristic properties of pseudo-stopping times
On first range times of linear diffusions
Probing option prices for information
Distribution of the time to explosion for one-dimensional diffusions
On the singular values of complex matrix Brownian motion with a matrix drift
Integral representations of certain measures in the one-dimensional diffusions excursion theory
Bessel processes, the Brownian snake and super-Brownian motion
Hitting times to spheres of Brownian motions with and without drifts
A reading guide for last passage times with financial applications in view
On the laws of first hitting times of points for one-dimensional symmetric stable Lévy processes
Rate of growth of the coalescent set in a coalescing stochastic flow
A decomposition of Bessel Bridges
First passage densities and boundary crossing probabilities for diffusion processes
Obituary: Marc Yor (24 July 1949 -- 9 July 2014). A beautiful mind has disappeared
Optimal stopping problems for some Markov processes
Semi log-concave Markov diffusions
Invariance formulas for stopping times of squared Bessel process
Complete Monotonicity of Modified Bessel Functions
The spectral representation of Bessel processes with constant drift: applications in queueing and finance
On the Generalized Drift Skorokhod Problem in One Dimension
Long- and short-time asymptotics of the first-passage time of the Ornstein-Uhlenbeck and other mean-reverting processes
First passage times for some classes of fractional time-changed diffusions
Volterra integral equations of the first kind and applications to linear diffusions
Bismut-Elworthy-Li formulae for Bessel processes
Multiple barrier-crossings of an Ornstein-Uhlenbeck diffusion in consecutive periods
Captive diffusions and their applications to order-preserving dynamics
First passage upwards for state-dependent-killed spectrally negative Lévy processes
Solution of the Fokker-Planck equation with a logarithmic potential and mixed eigenvalue spectrum
Pricing perpetual timer option under the stochastic volatility model of Hull-White
Call option prices based on Bessel processes
Cut-off and hitting times of a sample of Ornstein-Uhlenbeck processes and its average
On a family of coupled diffusions that can never change their initial order
Complete monotonicity and diesel fuel spray.
Markov bridges: SDE representation
Asymptotics for diffusion first-passage laws
Captive jump processes for bounded random systems with discontinuous dynamics
Fractional diffusion Bessel processes with Hurst index \(H \in (0, \frac{1}{2})\)
A multi-dimensional version of Lamperti's relation and the Matsumoto-Yor processes
Brownian hitting to spheres
From Loewner-captive Hermitian diffusions to risk-captive efficient frontiers
Two-dimensional delta-Bose gas: skew-product relative motions
Excursion theory for the Wright-Fisher diffusion
Excursions of diffusion processes and continued fractions
Stopping times in the filtration of a Brownian motion stopped at its last passage time
Entropies of Cox-Ingersoll-Ross and Bessel processes as functions of time and of related parameters
Infinite divisibility of solutions to some self-similar integro-differential equations and exponential functionals of Lévy processes
Joint exact simulation of the maximum and its location for some constrained Brownian processes
Brownian crossings between spheres
Time reversal and last passage time of diffusions with applications to credit risk management
Lie symmetries methods in boundary crossing problems for diffusion processes
A jump to default extended CEV model: an application of Bessel processes
An explicit solution to the Skorokhod embedding problem for functionals of excursions of Markov processes
Families index for manifolds with boundary, superconnections, and cones. I: Families of manifolds with boundary and Dirac operators
On a connection between the non-central \(\chi ^ 2\) distribution and Bessel diffusions
Families index for manifolds with boundary, superconnections and cones. II: The Chern character
Some explicit Krein representations of certain subordinators, including the gamma process

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