scientific article; zbMATH DE number 1163909

Authors Philippe Carmona, F. Petit, Marc Yor

Publication date 2 February 1999

Brownian motion diffusion process generalized Ornstein Uhlenbeck processes integral moments integro-differential equation

Mathematics Subject Classification ID

Diffusion processes (60J60) Markov processes (60J99)

Recommendations

Distributional properties of exponential functionals of Lévy processes
Tail asymptotics for exponential functionals of Lévy processes
Asymptotic results for exponential functionals of Lévy processes
Asymptotic behaviour of exponential functionals of Lévy processes with applications to random processes in random environment
scientific article; zbMATH DE number 1639847

Cited in

(only showing first 100 items - show all)

Continuity properties and infinite divisibility of stationary distributions of some generalized Ornstein-Uhlenbeck processes
Law of the exponential functional of one-sided Lévy processes and Asian options
On the entire moments of self-similar Markov processes and exponential functionals of Lévy processes
AIMD algorithms and exponential functionals
Tail estimates for exponential functionals and applications to SDEs
Bernstein-gamma functions and exponential functionals of Lévy processes
Self-similar solutions of fragmentation equations revisited
Asymptotic results for exponential functionals of Lévy processes
Ergodic properties of generalized Ornstein-Uhlenbeck processes
Exponential functionals of Lévy processes and variable annuity guaranteed benefits
Heavy subtrees of Galton-Watson trees with an application to Apollonian networks
On moments of integral exponential functionals of additive processes
Regenerative composition structures
Recursive construction of continuum random trees
On the minimal travel time needed to collect \(n\) items on a circle.
On modality of Lévy processes corresponding to mixtures of two exponential distributions
Tail asymptotics for exponential functionals of Lévy processes: the convolution equivalent case
Exponential functionals of integrated processes
Fluctuations of stable processes and exponential functionals of hypergeometric Lévy processes
Continuity properties and the support of killed exponential functionals
Asymptotic results for heavy-tailed Lévy processes and their exponential functionals
Fractional extreme distributions
On the law of killed exponential functionals
A transformation for spectrally negative Lévy processes and applications
Invariance principles for clocks
Revisiting integral functionals of geometric Brownian motion
On distributions of exponential functionals of the processes with independent increments
Exponential functionals of spectrally one-sided Lévy processes conditioned to stay positive
Optimal investment for insurers when the stock price follows an exponential Lévy process
Ergodic aspects of some Ornstein-Uhlenbeck type processes related to Lévy processes
On the density of exponential functionals of Lévy processes
On hyperbolic Bessel processes and beyond
Rates of convergence of a transient diffusion in a spectrally negative Lévy potential
Recurrent extensions of self-similar Markov processes and Cramér's condition. II
Tail asymptotics for exponential functionals of Lévy processes
Poisson calculus for spatial neutral to the right processes
Asymptotic laws for compositions derived from transformed subordinators
Recurrent extensions of self-similar Markov processes and Cramér's condition
Lévy integrals and the stationarity of generalised Ornstein-Uhlenbeck processes
Equilibrium for fragmentation with immigration
Loss of mass in deterministic and random fragmentations.
Profile of a self-similar growth-fragmentation
scientific article; zbMATH DE number 1639847 (Why is no real title available?)
Large Deviations for Clocks of Self-similar Processes
Explicit formulae in probability and in statistical physics
Asymptotic behaviour of the distribution density of some Lévy functionals in R^n
Distribution of some functionals for a L\'evy process with matrix-exponential jumps of the same sign
Asymptotic behaviour of exponential functionals of Lévy processes with applications to random processes in random environment
A Wiener-Hopf type factorization for the exponential functional of Lévy processes
Another look at the integral of exponential Brownian motion and the pricing of Asian options
Continuous-time methods in the study of discretely sampled functionals of Lévy processes. I. The positive process case
On the number of allelic types for samples taken from exchangeable coalescents with mutation
On the laws of first hitting times of points for one-dimensional symmetric stable Lévy processes
On the Mellin transforms of the perpetuity and the remainder variables associated to a subordinator
Tail behaviour of the area under a random process, with applications to queueing systems, insurance and percolations
scientific article; zbMATH DE number 90424 (Why is no real title available?)
Law of the absorption time of some positive self-similar Markov processes
An optimal stopping problem for fragmentation processes
Multivariate generalized Ornstein-Uhlenbeck processes
Exact asymptotic for distribution densities of Lévy functionals
Distributional properties of exponential functionals of Lévy processes
Optimal stopping problems for some Markov processes
An exponential functional of random walks
scientific article; zbMATH DE number 2050989 (Why is no real title available?)
Asymptotics for d -Dimensional Lévy-Type Processes
Asymptotics of exponential functionals in a lattice Lévy process
On the law of homogeneous stable functionals
The log-normal approximation in financial and other computations
Sur les fonctionnelles exponentielles de certains processus de lévy
On exponential functionals of Lévy processes
On Exponential Functionals of Processes with Independent Increments
On the exponential functional of Markov Additive Processes, and applications to multi-type self-similar fragmentation processes and trees
Pricing Asian options with correlators
Spectral expansions of non-self-adjoint generalized Laguerre semigroups
On the Ruin Problem with Investment When the Risky Asset Is a Semimartingale
Asian option pricing with orthogonal polynomials
Asian options under one-sided Lévy models
On the number of jumps of random walks with a barrier
On the number of segregating sites for populations with large family sizes
A note on the distribution of integrals of geometric Brownian motion
Asymptotic results for sample autocovariance functions and extremes of integrated generalized Ornstein-Uhlenbeck processes
Asymptotics for exponential functionals of random walks
A note on the -sun distribution
Implicit renewal theory for exponential functionals of Lévy processes
On the Asymptotic Behaviour of Superexponential Lévy Processes
Self-similar scaling limits of non-increasing Markov chains
A survey on performance analysis of warehouse carousel systems
Fluctuation theory and exit systems for positive self-similar Markov processes
Multitype self-similar growth-fragmentation processes
On the distribution of exponential functionals for Lévy processes with jumps of rational transform
Precise asymptotics for the density and the upper tail of exponential functionals of subordinators
On intermediate levels of a nested occupancy scheme in random environment generated by stick-breaking: the case of heavy tails
Bivariate Bernstein-gamma functions and moments of exponential functionals of subordinators
Quasi-stationary distributions and Yaglom limits of self-similar Markov processes
Spectral decomposition of fractional operators and a reflected stable semigroup
Recent developments in exponential functionals of Lévy processes
The stationarity of multidimensional generalized Ornstein-Uhlenbeck processes
Where do (random) trees grow leaves?
On powers of Stieltjes moment sequences. II
Asian options with jumps

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 Q4395532)