Beta Variables as Times Spent in [0, ∞[ By Certain Perturbed Brownian Motions
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Publication:4716656
DOI10.1112/S0024610798006401zbMATH Open0924.60067OpenAlexW2009927731MaRDI QIDQ4716656FDOQ4716656
F. Petit, Philippe Carmona, Marc Yor
Publication date: 12 December 1996
Published in: Journal of the London Mathematical Society (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1112/s0024610798006401
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Cited In (24)
- Asymptotics of first-passage time over a one-sided stochastic boundary
- An identity in law involving reflecting Brownian motion, derived from generalized arc-sine laws for perturbed Brownian motions
- Existence and pathwise uniqueness of solutions for stochastic differential equations involving the local time at point zero
- Convergence and nonconvergence of scaled self-interacting random walks to Brownian motion perturbed at extrema
- Perturbations of singular fractional SDEs
- The range of once‐reinforced random walk in one dimension
- Large deviations for perturbed reflected diffusion processes
- Doubly perturbed jump-diffusion processes
- Doubly perturbed neutral diffusion processes with Markovian switching and Poisson jumps
- Rough differential equations containing path-dependent bounded variation terms
- Explicit Laws for the Records of the Perturbed Random Walk on ℤ $$\mathbb {Z}$$
- The de Finetti Problem with Uncertain Competition
- Transportation inequalities for doubly perturbed stochastic differential equations with Markovian switching
- Fine mesh limit of the VRJP in dimension one and Bass-Burdzy flow
- Smooth densities of the laws of perturbed diffusion processes
- The averaging method for doubly perturbed distribution dependent SDEs
- Perturbed uncertain differential equations and perturbed reflected canonical process
- Absolute continuity of the laws of perturbed diffusion processes and perturbed reflected diffusion processes
- Weak limits of perturbed random walks and the equation \(Y_ t = B_ t+\alpha\sup\{Y_ s:s \leq t\} + \beta\inf\{Y_ s:s\leq t\}\)
- ON ONE-DIMENSIONAL STOCHASTIC DIFFERENTIAL EQUATIONS INVOLVING THE MAXIMUM PROCESS
- Convergence of random walks with Markovian cookie stacks to Brownian motion perturbed at extrema
- Existence and uniqueness of solutions for perturbed stochastic differential equations with reflected boundary
- Greedy walk on the real line
- Some calculations for doubly perturbed Brownian motion
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