scientific article; zbMATH DE number 942202

zbMATH Open0859.60001MaRDI QIDQ4714465FDOQ4714465

Authors: A. N. Borodin, Paavo Salminen 

Publication date: 6 November 1996

Title of this publication is not available (Why is that?)

Recommendations

• scientific article; zbMATH DE number 1817636
• Tables of distributions of functionals of the Brownian motion
• scientific article; zbMATH DE number 192908
• scientific article; zbMATH DE number 635670
• Green, Brown, and Probability and Brownian Motion on the Line

zbMATH Keywords

Ornstein-Uhlenbeck processBrownian motionFeynman-Kac formulafirst hitting timelocal timeBessel processesRay-Knight theoremsstopping

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Brownian motion (60J65) Stochastic processes (60Gxx) Markov processes (60Jxx)

Cited In (only showing first 100 items - show all)

• Valuation formulae for window barrier options
• Title not available (Why is that?)
• Asymptotic behavior of small deviations for Bogoliubov's Gaussian measure in the \(L^{p}\) norm, \(2 \leq p \leq \infty\)
• On the heat equation with a time-dependent singular potential
• Law of the iterated logarithm for oscillating random walks conditioned to stay non-negative.
• Exact overflow asymptotics for queues with many Gaussian inputs
• Limit theorems for local and occupation times of random walks and Brownian motion on a spider
• Statistical Inference for Student Diffusion Process
• Volatility skews and extensions of the Libor market model
• Stock loan with automatic termination clause, cap and margin
• Generation of cosine families via Lord Kelvin's method of images
• On the transition densities for reflected diffusions
• Liouville quantum gravity and KPZ
• Heavy-tailed fractional Pearson diffusions
• A scaling analysis of a cat and mouse Markov chain
• Non-intersecting squared Bessel paths and multiple orthogonal polynomials for modified Bessel weights
• Adoption of uncertain multi-stage technology projects: a real options approach
• On the local time process of a skew Brownian motion
• Statistical behaviour of adaptive multilevel splitting algorithms in simple models
• Derivative formula and gradient estimates for Gruschin type semigroups
• Sequential Comparison ofdPopulations and Related Tables
• OPTIMAL DIVIDEND POLICY WITH MEAN-REVERTING CASH RESERVOIR
• Exponential moments of first passage times and related quantities for Lévy processes
• On the densities of certain bounded diffusion processes
• Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates
• On large deviations in testing Ornstein-Uhlenbeck-type models
• Final distribution of a diffusion process with final stop
• \(\pi \) options
• On the first hitting time density for a reducible diffusion process
• Title not available (Why is that?)
• On Threshold Strategies and the Smooth-Fit Principle for Optimal Stopping Problems
• Regularity of the American put option in the Black-Scholes model with general discrete dividends
• Exact asymptotics of large deviations of stationary Ornstein-Uhlenbeck processes for \(L^p\)-functionals, \(p>0\)
• Non-intersecting squared Bessel paths: Critical time and double scaling limit
• On the discrete approximation of occupation time of diffusion processes
• The Dothan pricing model revisited
• Absorbing boundaries and optimal stopping in a stochastic differential equation
• Almost sure asymptotics for the local time of a diffusion in Brownian environment
• The escape rate of favorite sites of simple random walk and Brownian motion.
• A quadratically convergent algorithm for first passage time distributions in the Markov-modulated Brownian motion
• Estimating quadratic variation when quoted prices change by a constant increment
• Erratum to: ``Ruin probability in the presence of risky investments [Stochastic Process Appl. 116 (2006) 267-278]
• Optimal harvesting under stochastic fluctuations and critical depensation
• On the infimum attained by a reflected Lévy process
• American Parisian options
• Self-similar processes with independent increments associated with Lévy and Bessel processes.
• The limits of Sinai's simple random walk in random environment
• A scheme for simulating one-dimensional diffusion processes with discontinuous coefficients
• Optimal exit and valuation under demand uncertainty: a real options approach
• Singular stochastic control in the presence of a state-dependent yield structure
• The Brownian Fan
• Dynamic value at risk under optimal and suboptimal portfolio policies.
• Exit strategies and price uncertainty: A Greenian approach
• On extrema of stable processes
• On the First Passage time for Brownian Motion Subordinated by a Lévy Process
• A group action on increasing sequences of set-indexed Brownian motions
• Asymptotics for recurrent diffusions with application to high frequency regression
• Tail Asymptotics of the Supremum of a Regenerative Process
• Mixture representations for symmetric generalized Linnik laws
• Conditional gaugeability and subcriticality of generalized Schrödinger operators
• A new approach for open‐end sequential change point monitoring
• Critical price near maturity for an American option on a dividend-paying stock.
• Non-intersecting squared Bessel paths with one positive starting and ending point
• Double-barrier Parisian options
• Truncated Sequential Change‐point Detection based on Renewal Counting Processes
• A local method for estimating change points: the “Hat-function”
• Uniform conditional ergodicity and intrinsic ultracontractivity
• Local conformal structure of Liouville quantum gravity
• On the properties of \(r\)-excessive mappings for a class of diffusions
• Exact inequalities for the maximum of a skew Brownian motion
• Nonstationary discrete choice
• Parameter estimation for Fisher-Snedecor diffusion
• Simulation of a space-time bounded diffusion
• Slowdown for time inhomogeneous branching Brownian motion
• An equivalent representation of the Brown-Resnick process
• Absolute continuity of measures in the class of Markov and semi-Markov processes of diffusion type
• Perpetual options and Canadization through fluctuation theory
• Adaptive Multilevel Splitting for Rare Event Analysis
• Distributions of functionals of diffusions with nonstandard switching
• Rayleigh processes, real trees, and root growth with re-grafting
• Quasistationary distributions for one-dimensional diffusions with killing
• Asymptotic behavior of the stock price distribution density and implied volatility in stochastic volatility models
• Bernstein diffusions for a class of linear parabolic partial differential equations
• Small deviations for two classes of Gaussian stationary processes and \(L^p\)-functionals, \(0<p\leq\infty\)
• Skew Ornstein-Uhlenbeck processes and their financial applications
• Iterated Brownian motion in an open set.
• The impact of delivery lags on irreversible investment under uncertainty
• Periodic homogenization with an interface: the multi-dimensional case
• Closed-form solutions to stochastic process switching problems
• Stochastic modeling and fair valuation of drawdown insurance
• Exact small ball asymptotics in weighted \(L_2\)-norm for some Gaussian processes
• Some conditional crossing results of Brownian motion over a piecewise-linear boundary
• Strong approximations of additive functionals of a planar Brownian motion.
• How the sojourn time distributions of Brownian motion are affected by different forms of conditioning.
• The intermediate arc-sine law
• Financial equilibrium with asymmetric information and random horizon
• On small deviation asymptotics in \(L_2\) of some mixed Gaussian processes
• The first hitting time of the integers by symmetric Lévy processes
• Spectral analysis of stable processes on the positive half-line
• Sojourn time in an union of intervals for diffusions

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 Q4714465)