scientific article; zbMATH DE number 739283
zbMATH Open0826.60002MaRDI QIDQ4328337FDOQ4328337
Authors: L. C. G. Rogers, David Williams
Publication date: 30 March 1995
Title of this publication is not available (Why is that?)
Recommendations
Brownian motionlocal timeMartin boundarySkorokhod embeddingHille-Yosida theoremRay processessample-path propertiesLévy processesFeller-Dynkin processesprobability measures on Lusin spaces
Sample path properties (60G17) Martingales with continuous parameter (60G44) Local time and additive functionals (60J55) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) Markov processes (60Jxx)
Cited In (only showing first 100 items - show all)
- Applications of Feller-Reuter-Riley transition functions
- PSEUDODIFFUSIONS AND QUADRATIC TERM STRUCTURE MODELS
- Dispersion and collapse in stochastic velocity fields on a cylinder
- New perspectives on Ray's theorem for the local times of diffusions
- The fixation line in the \(\Lambda\)-coalescent
- On Skorokhod embeddings and Poisson equations
- Doob-Martin compactification of a Markov chain for growing random words sequentially
- Limit theorems for projections of random walk on a hypersphere
- Birth-death processes with disaster and instantaneous resurrection
- Integrated Brownian motion, conditioned to be positive
- Stationary Markov processes related to stable Ornstein-Uhlenbeck processes and the additive coalescent
- Markov processes, strong Markov processes and Brownian motion in Riesz spaces
- Stochastic models of regulation of transcription in biological cells
- Approximations for the distribution of perpetuities with small discount rates
- Measures and Dirichlet forms under the Gelfand transform
- Valuing virtual production capacities on flow commodities
- On Gittins' index theorem in continuous time
- Heavy-tailed configuration models at criticality
- Approximating a diffusion by a finite-state hidden Markov model
- When does fractional Brownian motion not behave as a continuous function with bounded variation?
- Martingales and function spaces
- Comparison for measure valued processes with interactions
- Maximal inequalities and some applications
- Inference for stochastic volatility models using time change transformations
- Solving a Hamilton-Jacobi-Bellman equation with constraints
- The filtering equations revisited
- On the boundary local time measure of super-Brownian motion
- Discretely sampled variance and volatility swaps versus their continuous approximations
- Convergence of conditional expectations in Banach function spaces
- A trajectory-free framework for analysing multiscale systems
- The dimension of the boundary of super-Brownian motion
- Pricing Israeli options: a pathwise approach
- Doob: A Half-Century on
- On a two-parameter Yule-Simon distribution
- Martin boundary of a killed random walk on a quadrant
- Prediction Error of the Multivariate Chain Ladder Reserving Method
- An optimal reinsurance problem in the Cramér-Lundberg model
- A strong law of large numbers for iterated functions of independent random variables
- Average and diffusion approximation of stochastic evolutionary systems in an asymptotic split state space
- On the Feller-Dynkin and the martingale property of one-dimensional diffusions
- Quantitative bounds of convergence for geometrically ergodic Markov chain in the Wasserstein distance with application to the Metropolis adjusted Langevin algorithm
- Statistical modeling of causal effects in continuous time
- Variational formula for Dirichlet forms and estimates of principal eigenvalues for symmetric \(\alpha\)-stable processes
- Some local approximation properties of simple point processes
- Metrics on sets of interval partitions with diversity
- On the product system of a completely positive semigroup
- Polynomial diffusion models for life insurance liabilities
- Evolving systems of stochastic differential equations
- Double barrier options in regime-switching hyper-exponential jump-diffusion models
- Enlargement of filtrations with random times for processes with jumps
- On exponential local martingales associated with strong Markov continuous local martingales
- Martin boundary of a killed random walk on a half-space
- Consistent estimation of a convex density at the origin
- Laws of large numbers for supercritical branching Gaussian processes
- General equilibrium when economic growth exceeds discounting
- The genealogy of a cluster in the multitype voter model.
- Windings of Brownian motion and random walks in the plane
- QUADRATIC TERM STRUCTURE MODELS FOR RISK‐FREE AND DEFAULTABLE RATES
- Title not available (Why is that?)
- Size bias for one and all
- Convergence of conditional Metropolis-Hastings samplers
- Nonlinear Markov processes in big networks
- Universality for critical heavy-tailed network models: metric structure of maximal components
- Feedback stabilization and adaptive stabilization of stochastic nonlinear systems by the control Lyapunov function
- Title not available (Why is that?)
- Simulation of stopped diffusions
- Laplace approximation of Lauricella functions \(F_A\) and \(F_D\)
- Queue-based random-access algorithms: fluid limits and stability issues
- Heavy-tailed fractional Pearson diffusions
- Pathwise versions of the Burkholder-Davis-Gundy inequality
- A scaling analysis of a cat and mouse Markov chain
- Probability laws related to the Jacobi theta and Riemann zeta functions, and Brownian excur\-sions
- Monte Carlo valuation of American options
- Markov Processes, Brownian Motion, and Time Symmetry
- Excursion decompositions for SLE and Watts' crossing formula
- Microscopic structure of shocks and antishocks in the ASEP conditioned on low current
- Pseudodifferential operators with rough negative definite symbols
- Affine processes and applications in finance
- Current status data with competing risks: consistency and rates of convergence of the MLE
- Nonparametric estimation for stochastic volatility models
- Optimal stopping problems for some Markov processes
- Brownian excursions, critical random graphs and the multiplicative coalescent
- Interacting multi-class transmissions in large stochastic networks
- Optimization via trunk reservation in single resource loss systems under heavy traffic
- Fleming-Viot selects the minimal quasi-stationary distribution: the Galton-Watson case
- Estimation of fractal dimension for a class of non-Gaussian stationary processes and fields.
- Nonlinear Lévy processes and their characteristics
- On the convergence from discrete to continuous time in an optimal stopping problem.
- An Andô-Douglas type theorem in Riesz spaces with a conditional expectation
- From Poisson shot noise to the integrated Ornstein-Uhlenbeck process: neurally principled models of information accumulation in decision-making and response time
- Infinite rate mutually catalytic branching
- Variance reduction for diffusions
- Inference in a synchronization game with social interactions
- Optimal switching problems with an infinite set of modes: an approach by randomization and constrained backward SDEs
- Affine processes are regular
- Kac's moment formula and the Feynman-Kac formula for additive functionals of a Markov process
- SPDE limits of many-server queues
- Causal inference for continuous-time processes when covariates are observed only at discrete times
- Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models
- Polynomial processes and their applications to mathematical finance
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 Q4328337)