scientific article; zbMATH DE number 2150787

From MaRDI portal

zbMath1087.60040MaRDI QIDQ4663402

Marc Yor, Daniel Revuz

Publication date: 30 March 2005


Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.



Related Items

Linear bounds for stochastic dispersion., Fluctuations of the free energy in the REM and the \(p\)-spin SK models, The profile of binary search trees, Analysis of the forward search using some new results for martingales and empirical processes, Randomised one-step time integration methods for deterministic operator differential equations, A note on switching property for squared Bessel process, SIR dynamics with vaccination in a large configuration model, Couplings, gradient estimates and logarithmic Sobolev inequalitiy for Langevin bridges, Excursion theory for Brownian motion indexed by the Brownian tree, Martin boundary of random walks in convex cones, Learning the smoothness of noisy curves with application to online curve estimation, Pathwise differentiability for SDEs in a convex polyhedron with oblique reflection, Copolymer at selective interfaces and pinning potentials: weak coupling limits, The Sherrington-Kirkpatrick model of spin glasses and stochastic calculus: The high temperature case, Wright-Fisher diffusions in stochastic spatial evolutionary games with death-birth updating, Phase transitions for \(\phi^4_3\), Barlow-Yor inequalities for intersection local times of two planar Brownian motions, Euler scheme and measurable flows for stochastic differential equations with non-Lipschitz coefficients, Markovian structure in the concave majorant of Brownian motion, Convergence of series of strongly integrable random variables and applications, Fractional integral equations and state space transforms, KPZ line ensemble, Pricing insurance premia: a top down approach, Complex Wiener-Itô chaos decomposition revisited, On the construction of Wiener integrals with respect to certain pseudo-Bessel processes, Limits of random differential equations on manifolds, On a nonlinear stochastic dynamic circuit using Stratonovich differential, Asymptotic results for sample autocovariance functions and extremes of integrated generalized Ornstein-Uhlenbeck processes, Asymptotic normality of convoluted smoothed kernel estimation for scalar diffusion model, \(L^p\)-estimates on a ratio involving a Bessel process, Diffusion limit for many particles in a periodic stochastic acceleration field, On the one-sided maximum of Brownian and random walk fragments and its applications to new exotic options called ``meander option, Reweighted Nadaraya-Watson estimation of jump-diffusion models, Determinantal martingales and noncolliding diffusion processes, Gambling in contests, Intertwining certain fractional derivatives, Noncolliding squared Bessel processes, Continuous differentiability of renormalized intersection local times in \(\mathbb{R}^{1}\), On some universal \(\sigma\)-finite measures related to a remarkable class of submartingales, A functional CLT for the \(L^2\) modulus of continuity of local time, Martingale transforms and their projection operators on manifolds, Superposition principle for non-local Fokker-Planck-Kolmogorov operators, Option pricing under a gamma-modulated diffusion process, Strong rate of convergence for the Euler-Maruyama approximation of one-dimensional stochastic differential equations involving the local time at point zero, Asymptotic behaviour of the trajectory fitting estimator for reflected Ornstein-Uhlenbeck processes, Stochastic description of a Bose-Einstein condensate, A Stratonovich-Skorohod integral formula for Gaussian rough paths, Permanental fields, loop soups and continuous additive functionals, Determinantal process starting from an orthogonal symmetry is a Pfaffian process, Wishart processes, Two Bessel bridges conditioned never to collide, double Dirichlet series, and Jacobi theta function, Arbitrage opportunities in diverse markets via a non-equivalent measure change, Correlation and the pricing of risks, Regularization by noise and stochastic Burgers equations, On the existence of solutions of unbounded optimal stopping problems, On matching diffusions, Laplace transforms and partial differential equations, \(L^p\) solutions of multidimensional BSDEs with weak monotonicity and general growth generators, Decomposition formula and stationary measures for stochastic Lotka-Volterra system with applications to turbulent convection, Asymptotic error distribution for the Euler scheme with locally Lipschitz coefficients, The lower Snell envelope of smooth functions: an optional decomposition, Time change equations for Lévy-type processes, Estimates on functional integrals of quantum mechanics and non-relativistic quantum field theory, Pathwise inequalities for local time: Applications to Skorokhod embeddings and optimal stopping, Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations, Moments and Mellin transform of the asset price in Stein and Stein model and option pricing, Testing whether the underlying continuous-time process follows a diffusion: an infinitesimal operator-based approach, Distributional compatibility for change of measures, Optimal scaling of random walk Metropolis algorithms with discontinuous target densities, Subsampling high frequency data, Random interlacements and the Gaussian free field, Reciprocal time relation of noncolliding Brownian motion with drift, System of complex Brownian motions associated with the O'Connell process, Thick points of the Gaussian free field, Another look at the Hartman-Watson distributions, Pathwise uniqueness of the squared Bessel and CIR processes with skew reflection on a deterministic time dependent curve, Central limit theorem and moderate deviation principle for CKLS model with small random perturbation, \(\mathbb L^p\) solutions of reflected BSDEs under monotonicity condition, On a Brownian motion conditioned to stay in an open set, Explicit solutions of Volterra integro-differential convolution equations, Additive nonparametric models with time variable and both stationary and nonstationary regressors, An almost constant lower bound of the isoperimetric coefficient in the KLS conjecture, On the excursion theory for linear diffusions, Weak existence and uniqueness for affine stochastic Volterra equations with \(L^1\)-kernels, A convolution formula for the local time of an Itô diffusion reflecting at 0 and a generalized Stroock-Williams equation, A martingale approach for testing diffusion models based on infinitesimal operator, Hydrodynamic turbulence and intermittent random fields, Operator level hard-to-soft transition for \(\beta\)-ensembles, Bessel SPDEs with general Dirichlet boundary conditions, Robust no-free lunch with vanishing risk, a continuum of assets and proportional transaction costs, Measure-valued flows given consistent exchangeable families, Efficient estimation for the volatility of stochastic interest rate models, On the energy transfer to high frequencies in the damped/driven nonlinear Schrödinger equation, Iterated foldings of discrete spaces and their limits: candidates for the role of Brownian map in higher dimensions, Quasi-stationary distributions and diffusion models in population dynamics, Equilibrium fluctuations for diffusive symmetric exclusion with long jumps and infinitely extended reservoirs, Excursions away from the Lipschitz minorant of a Lévy process, A representation theorem approach to probabilistic interpretation for viscosity solutions of Isaacs equations, Integration by parts formulae for the laws of Bessel bridges via hypergeometric functions, Metastable behavior of weakly mixing Markov chains: the case of reversible, critical zero-range processes, Wandering bumps in a stochastic neural field: a variational approach, Early Exercise Boundary for American Type of Floating Strike Asian Option and Its Numerical Approximation, Asymptotic winding of the geodesic flow on modular surfaces and continuous fractions, Isomorphism for Spaces of Predictable Processes and an Extension of the Ito Integral, Parameter estimation for generalized diffusion processes with reflected boundary, Rescaled Whittaker driven stochastic differential equations converge to the additive stochastic heat equation, Constructing an SDE from its two-point generator, Some Asymptotic Results for Strongly Critical Branching Processes with Immigration in Varying Environment, LATENCY AND LIQUIDITY RISK, Scaling Limit of the Path Leading to the Leftmost Particle in a Branching Random Walk, Log-optimal investment in the long run with proportional transaction costs when using shadow prices, The law of iterated logarithm for additive functionals and martingale additive functionals of Harris recurrent Markov processes, ON A NEW PARADIGM OF OPTIMAL REINSURANCE: A STOCHASTIC STACKELBERG DIFFERENTIAL GAME BETWEEN AN INSURER AND A REINSURER, Asymptotic Behavior of Critical Primitive Multi-Type Branching Processes with Immigration, Performance Fees with Stochastic Benchmark, SPECIFICATION TESTING DRIVEN BY ORTHOGONAL SERIES FOR NONLINEAR COINTEGRATION WITH ENDOGENEITY, Stochastic integrals and BDG's inequalities in Orlicz-type spaces, Hyperbolic Green function estimates, Martingale representation in progressively enlarged Lévy filtrations, Carathéodory approximate solutions for a class of stochastic differential equations involving the local time at point zero with one-sided Lipschitz continuous drift coefficients, Reduced-form setting under model uncertainty with non-linear affine intensities, Potential kernels for radial Dunkl Laplacians, Optimal contract with moral hazard for Public Private Partnerships, Asymptotic behavior of critical indecomposable multi-type branching processes with immigration, Hardy’s uncertainty principle and unique continuation property for stochastic heat equations, Integral functionals under the excursion measure, The replicator equation in stochastic spatial evolutionary games, DIFFUSION LIMITS FOR A MARKOV MODULATED BINOMIAL COUNTING PROCESS, Arbitrage in skew Brownian motion models, Deviation inequalities for centered additive functionals of recurrent Harris processes having general state space, HALF-SPACE MACDONALD PROCESSES, Local time and the pricing of path-dependent options, On hyperbolic Bessel processes and beyond, Constrained optimality for controlled switching diffusions with an application to stock purchasing, Large deviations for symmetric stable processes with Feynman-Kac functionals and its application to pinned polymers, Volterra integral equations of the first kind and applications to linear diffusions, Large Deviations for Infectious Diseases Models, Internal DLA and the Gaussian free field, Anomalous diffusion for multi-dimensional critical kinetic Fokker-Planck equations, Well-posedness, stability and sensitivities for stochastic delay equations: a generalized coupling approach, Muller's ratchet clicks in finite time, On a mean reverting dividend strategy with Brownian motion, A Multifactor Polynomial Framework for Long-Term Electricity Forwards with Delivery Period, Statistical causality and separable processes, A functional central limit theorem for spatial birth and death processes, Estimating the efficient price from the order flow: a Brownian Cox process approach, On Dantzig and Lasso estimators of the drift in a high dimensional Ornstein-Uhlenbeck model, Partial functional quantization and generalized bridges, One dimensional critical kinetic Fokker-Planck equations, Bessel and stable processes, Sweetest taboo processes, Model misspecification analysis for bond options and Markovian hedging strategies, Nonlinear anisotropic degenerate parabolic-hyperbolic equations with stochastic forcing, Local Linear Estimation of Recurrent Jump—Diffusion Models, The optimal investment, liability and dividends in insurance, Fragmentation processes with an initial mass converging to infinity, Path Properties of Dilatively Stable Processes and Singularity of Their Distributions, A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy, Noncolliding Brownian motion and determinantal processes, Characterization of the value process in robust efficient hedging, Randomly Stopped Nonlinear Fractional Birth Processes, Existence and characterization of product-form invariant distributions for state-dependent stochastic networks in the heavy-traffic diffusion limit, α-Wiener Bridges: Singularity of Induced Measures and Sample Path Properties, Decomposition of Order Statistics of Semimartingales Using Local Times, Weak and strong discrete-time approximation of fractional SDEs, Convergence in distribution of some self-interacting diffusions, THE SQUARED ORNSTEIN‐UHLENBECK MARKET, An invariance principle for isotropic diffusions in random environment, Operator scaled Wiener bridges, Exponential concentration inequalities for additive functionals of Markov chains, Invariance formulas for stopping times of squared Bessel process, ON THE FUNCTIONAL ESTIMATION OF MULTIVARIATE DIFFUSION PROCESSES, An Itô type formula for the additive stochastic heat equation, On the support of extremal martingale measures with given marginals: the countable case, Unnamed Item, Asymptotic behavior of critical, irreducible multi-type continuous state and continuous time branching processes with immigration, ON A SUFFICIENT CONDITION FOR LARGE DEVIATIONS OF ADDITIVE FUNCTIONALS, A result on the Laplace transform associated with the sticky Brownian motion on an interval, The Local Time Method for Targeting and Selection, Random self-similar trees: a mathematical theory of Horton laws, Double-smoothed drift estimation of jump-diffusion model, Nonparametric estimation of jump characteristics under market microstructure noise, Stability of Traveling Waves on Exponentially Long Timescales in Stochastic Reaction-Diffusion Equations, Brosamler's formula revisited and extensions, LOCAL RISK MINIMIZATION FOR DEFAULTABLE MARKETS, Revisiting linear and lognormal stochastic volatility models, Spontaneous Wave Formation in Stochastic Self-Driven Particle Systems, Carathéodory approximate solutions for a class of perturbed stochastic differential equations with reflecting boundary, Convergence rate of Euler scheme for time-inhomogeneous SDEs involving the local time of the unknown process, SEMIPARAMETRIC FUNCTIONAL COEFFICIENT MODELS WITH INTEGRATED COVARIATES, A stochastic model for cell adhesion to the vascular wall, Analytic bond pricing for short rate dynamics evolving on matrix Lie groups, SELF EXCITING THRESHOLD INTEREST RATES MODELS, Markov processes and generalized Schrödinger equations, Explicit asymptotics on first passage times of diffusion processes, Exact simulation for multivariate Itô diffusions, ESTIMATION OF VOLATILITY FUNCTIONS IN JUMP DIFFUSIONS USING TRUNCATED BIPOWER INCREMENTS, Integrability and concentration of the truncated variation for the sample paths of fractional Brownian motions, diffusions and Lévy processes, Markov chain approximation of one-dimensional sticky diffusions, Determinantal martingales and correlations of noncolliding random walks, A Link Between Bougerol’s Identity and a Formula Due to Donati-Martin, Matsumoto and Yor, NONSTATIONARY NONLINEARITY: A SURVEY ON PETER PHILLIPS’S CONTRIBUTIONS WITH A NEW PERSPECTIVE, Uniqueness in Cauchy problems for diffusive real-valued strict local martingales, Existence and pathwise uniqueness of solutions for stochastic differential equations involving the local time at point zero, Near-optimal approximation methods for elliptic PDEs with lognormal coefficients, Heat kernel estimates for subordinate Brownian motions, ON ONE-DIMENSIONAL STOCHASTIC DIFFERENTIAL EQUATIONS INVOLVING THE MAXIMUM PROCESS, Carathéodory approximate solutions for a class of perturbed reflected stochastic differential equations with irregular coefficients, Error estimates for a finite volume scheme for advection–diffusion equations with rough coefficients, Global Optimization via Schrödinger–Föllmer Diffusion, Modeling actin-myosin interaction: beyond the Huxley-Hill framework, Local law and rigidity for unitary Brownian motion, Derivation of anomalous behavior from interacting oscillators in the high-temperature regime, Statistical causality, optional and predictable projections, On SDEs with Lipschitz coefficients, driven by continuous, model-free martingales, Convex duality for partial hedging of American options: continuous price processes, The truncated Euler-Maruyama method of one-dimensional stochastic differential equations involving the local time at point zero, On weak convergence of stochastic differential equations with irregular coefficients, Reproduction of initial distributions from the first hitting time distribution for birth-and-death processes, Singular perturbations in stochastic optimal control with unbounded data, On the probabilistic representations of solutions of pantograph equations and triangle coefficients, Fractal Transformation of Krein–Feller Operators, Moments and tails of hitting times of Bessel processes and convolutions of elementary mixtures of exponential distributions, Asymptotic behavior of maximum likelihood estimators for Ornstein–Uhlenbeck process with large linear drift, On the pathwise uniqueness for a class of degenerate Itô-stochastic differential equations, Blow-up for a stochastic model of chemotaxis driven by conservative noise on \(\mathbb{R}^2\), Limit behaviour of random walks on ℤmwith two-sided membrane, On bivariate distributions of the local time of Itô-McKean diffusions, Stationary local random countable sets over the Wiener noise, Measuring the suboptimality of dividend controls in a Brownian risk model, On the stochastic regularity of distorted Brownian motions, ON THE CONVERGENCE OF DISCRETE PROCESSES WITH MULTIPLE INDEPENDENT VARIABLES, Stability of Traveling Waves for Reaction-Diffusion Equations with Multiplicative Noise, CRITICAL PRICE NEAR MATURITY FOR AN AMERICAN OPTION ON A DIVIDEND‐PAYING STOCK IN A LOCAL VOLATILITY MODEL, Local Linear Estimation of Jump-Diffusion Models by Using Asymmetric Kernels, Pathwise nonuniqueness for the SPDEs of some super-Brownian motions with immigration, Estimation for single-index and partially linear single-index integrated models, A reexamination of stock return predictability, Smile Asymptotics II: Models with Known Moment Generating Functions, Unnamed Item, Unnamed Item, Entry and Exit Decision Problem with Implementation Delay