scientific article; zbMATH DE number 563055

MaRDI QIDQ4290908zbMATH OpenFDO

Authors Jean Bertoin, Jim Pitman

Publication date 6 February 1995

zbMATH Keywords

Bessel processBrownian bridgeBrownian excursionBrownian meanderlocal timepath transformations

Mathematics Subject Classification ID

Local time and additive functionals (60J55) Brownian motion (60J65)

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• Pricing path-dependent options in a Black-Scholes market from the distribution of homogeneous Brownian functionals
• On the Brownian separable permuton
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• Exact Monte Carlo simulation of killed diffusions
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• Random cographs: Brownian graphon limit and asymptotic degree distribution
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• Malliavin calculus for the optimal estimation of the invariant density of discretely observed diffusions in intermediate regime
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