scientific article; zbMATH DE number 3447884

From MaRDI portal

zbMath0285.60063MaRDI QIDQ4772511

H. P. jun. McKean, Kiyosi Itô

Publication date: 1974


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



Related Items

Uniqueness in Cauchy problems for diffusive real-valued strict local martingales, Two consistent estimators for the skew Brownian motion, TIME-CHANGED MARKOV PROCESSES IN UNIFIED CREDIT-EQUITY MODELING, The killed Brox diffusion, Time Inversion Property for Rotation Invariant Self-similar Diffusion Processes, DISCRETENESS OF SPECTRUM FOR THE MAGNETIC SCHRÖDINGER OPERATORS, Optimal pair-trading strategy over long/short/square positions—empirical study, First passage time density of an Ornstein–Uhlenbeck process with broken drift, A Class of Homothetic Forward Investment Performance Processes with Non-zero Volatility, Branching Random Walk in an Inhomogeneous Breeding Potential, PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY, An algorithm to solve optimal stopping problems for one-dimensional diffusions, The last zero-crossing of an iterated brownian motion with drift, On optimal threshold stopping times for Ito diffusions, A Feynman–Kac approach to a paper of Chung and Feller on fluctuations in the coin-tossing game, Unnamed Item, Square-root boundaries for Bessel processes and the hitting times of radial Ornstein-Uhlenbeck processes, A new approach to tests and confidence bands for distribution functions, On local times of Martin-Löf random Brownian motion, Dimension reduction for stochastic dynamical systems forced onto a manifold by large drift: a constructive approach with examples from theoretical biology, On some variational problems involving capacity, torsional rigidity, perimeter and measure, On the relation of one-dimensional diffusions on natural scale and their speed measures, Limit theorems of Brownian additive functionals, On the Feller-Dynkin and the martingale property of one-dimensional diffusions, Quenched Small Deviation for the Trajectory of a Random Walk with Random Environment in Time, Exact simulation of first exit times for one-dimensional diffusion processes, Exact solution of interacting particle systems related to random matrices, Singular integrals and Feller semigroups with jump phenomena, Fractal Transformation of Krein–Feller Operators, The distribution function for the maximal height of \(N\) non-intersecting Bessel paths, Yaglom-type limit theorems for branching Brownian motion with absorption, Stochastics and dynamics of fractals, The martingale problem method revisited, Unnamed Item, Distributions of functionals of a skew Brownian motion with discontinuous drift, On bivariate distributions of the local time of Itô-McKean diffusions, Minimal subharmonic functions and related integral representations, Markov processes with spatial delay: Path space characterization, occupation time and properties, Renewal dynamical approach for non-minimal quasi-stationary distributions of one-dimensional diffusions, Asymptotics for time-changed diffusions, Entrance laws at the origin of self-similar Markov processes in high dimensions, Interlacing Diffusions, On Drifting Brownian Motion Made Periodic, Rate of growth of the coalescent set in a coalescing stochastic flow, A Note on the Quasi-stationary Distribution of the Shiryaev Martingale on the Positive Half-Line, Optimality of Threshold Stopping Times for Diffusion Processes, Non-parametric estimation for partially observed transient diffusion processes, Regularity properties of the stochastic flow of a skew fractional Brownian motion, On symmetric linear diffusions, Unnamed Item, Confidence intervals of discretized Euler-Maruyama approximate solutions of SDE's, On the local time of the multiparameter wiener process and the asymptotic behaviour of an associated integral, Asymptotic expansions for the first hitting times of Bessel processes, THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE, Estimation of the coefficients of a diffusion from discrete observations, Statistics of dwell times in a reaction with randomly fluctuating rates, Malliavin's Calculus in Insider Models: Additional Utility and Free Lunches, Last exit decompositions and regularity at the boundary of transition probabilities, The calculus of boundary processes, Optimal pair-trading strategy over long/short/square positions—empirical study, N-Stage output procedure of a finite dam, Analytic Expressions of the Solutions of Advection-Diffusion Problems in One Dimension with Discontinuous Coefficients, Statistical Inference for Student Diffusion Process, CALCULUS ON FRACTAL SUBSETS OF REAL LINE — I: FORMULATION, Probabilistic approach to the quantum separation effect for the Feynman–Kac semigroup, Uniform convergence of conditional distributions for absorbed one-dimensional diffusions, First exit densities of Brownian motion through one-sided moving boundaries, Smoluchowski's theory of coagulation in colloids holds rigorously in the Boltzmann-Grad-limit, A result on the Laplace transform associated with the sticky Brownian motion on an interval, On some properties of sticky Brownian motion, Unnamed Item, Lifschitz tail on hyperbolic space: Neumann conditions, Some explicit results on one kind of sticky diffusion, On the local time process of a skew Brownian motion, Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates, Comportement des semi-martingales dans un grossissement de filtration, Compactness of symmetric Markov semigroups and boundedness of eigenfunctions, On the Laws of First Hitting Times of Points for One-Dimensional Symmetric Stable Lévy Processes, A Markov chain approximation scheme for option pricing under skew diffusions, Local time of an Ornstein–Uhlenbeck particle, Unnamed Item, On capacity and torsional rigidity, A Measure Approach for Continuous Inventory Models: Discounted Cost Criterion, The lifetime of conditioned Brownian motion, Asymptotic densities of stopping times associated with tests of power one, Exponential convergence to quasi-stationary distribution for absorbed one-dimensional diffusions with killing, Resolution of the skew Brownian motion equations with stochastic calculus for signed measures, On Necessary and Sufficient Conditions for Preserving Convergence Rates to Equilibrium in Deterministically and Stochastically Perturbed Differential Equations with Regularly Varying Nonlinearity, Residence times of a Brownian particle with temporal heterogeneity, Vitesse de fuite et comportement asymptotique du mouvement brownien sur les groupes de Lie nilpotents, On explicit occupation time distributions for Brownian processes, Grid-free simulation of diffusion using random wall methods, Some bivariate stochastic models arising from group representation theory, Path transformations for local times of one-dimensional diffusions, Diffusion transformations, Black-Scholes equation and optimal stopping, Transient one-dimensional diffusions conditioned to converge to a different limit point, T-cell movement on the reticular network, Almost-sure path properties of \((2,d,\beta)\)-superprocesses, Mouvement brownien, cônes et processus stables. (Brownian motion, cones and stable processes), Large finite population queueing systems: The single-server model, Distribution of functionals of special diffusions with jumps, The combined effects of Feller diffusion and transcriptional/translational bursting in simple gene networks, Divergent sums over excursions, Near critical preferential attachment networks have small giant components, On exponential local martingales associated with strong Markov continuous local martingales, The semimartingale decomposition of one-dimensional quasidiffusions with natural scale, Regular subspaces of skew product diffusions, A stochastic approach to the Shilov boundary, Evaluating callable and putable bonds: an eigenfunction expansion approach, On the distribution of Brownian areas, On the distribution of integral functionals of a homogeneous diffusion process, The \(\alpha\)-orthogonal complements of regular Dirichlet subspaces for one-dimensional Brownian motion, Speed and fluctuations of \(N\)-particle branching Brownian motion with spatial selection, A representation of local time for Lipschitz surfaces, Moments in the duration of play, Conformal geometry and invariants of 3-strand Brownian braids, Monotonicity of time-dependent transportation costs and coupling by reflection, Excursion decompositions for SLE and Watts' crossing formula, Lévy measure density corresponding to inverse local time, The rate of escape for some Gaussian processes and the scattering theory for their small perturbations, Regularity properties of Schrödinger and Dirichlet semigroups, On the time inhomogeneous skew Brownian motion, An optimal consumption problem in finite time with a constraint on the ruin probability, On Edwards' model for long polymer chains, Approximating Mills ratio, Harmonic functions on Walsh's Brownian motion, Thinning and harvesting in stochastic forest models, The harmonic measures of Lucy Garnett, High-order approximation of Pearson diffusion processes, Classical and quantum behavior of the integrated density of states for a randomly perturbed lattice, Feynman description of the one-dimensional dynamics of particles whose masses piecewise continuously depend on coordinates, The Fourier dimension of Brownian limsup fractals, Asymptotics for the survival probability in a killed branching random walk, Finely holomorphic functions, Hypothesis testing for Fisher-Snedecor diffusion, Wiener sausage and self-intersection local times, Quasi-everywhere properties of Brownian level sets and multiple points, Families index for manifolds with boundary, superconnections and cones. II: The Chern character, On a one-dimensional model of infection spreading, An inverse first-passage problem for one-dimensional diffusions with random starting point, On the properties of \(r\)-excessive mappings for a class of diffusions, A second main theorem of Nevanlinna theory for meromorphic functions on complete Kähler manifolds, Laws of the iterated logarithm for high-dimensional Wiener sausage, Tracy-Widom at high temperature, The descriptive complexity of stochastic integration, Sticky Brownian motion as the strong limit of a sequence of random walks, On some functional inequalities for skew Brownian motion, On fake Brownian motions, Some limit theorems for heights of random walks on a spider, Rate functions for symmetric Markov processes via heat kernel, Spiking the random matrix hard edge, A formula for the expected volume of the Wiener sausage with constant drift, Skew Brownian diffusions across Koch interfaces, Flat points of two-dimensional Brownian motion, Limit theorems for projections of random walk on a hypersphere, Occupation time distributions for the telegraph process, Pathwise uniqueness of the squared Bessel and CIR processes with skew reflection on a deterministic time dependent curve, Penalization of a positively recurrent diffusion by an exponential function of its local time, Asymptotic behavior of the transition density of an ergodic linear diffusion, On the decoupling of finite singularities from the question of asymptotic completeness in two body quantum systems, Mosco-convergence and Wiener measures for conductive thin boundaries, Occupation times of spectrally negative Lévy processes with applications, Pricing European vanilla options under a jump-to-default threshold diffusion model, Différentiabilité fine, différentiabilité stochastique, différentiabilité stochastique de fonctions finement harmoniques, Some Brownian local time approximations., Extremes of locally stationary chi-square processes with trend, Remarks on the density of the law of the occupation time for Bessel bridges and stable excursions, A characterization of harmonic measures on laminations by hyperbolic Riemann surfaces, Feynman formulas generated by self-adjoint extensions of the Laplacian, Pointwise bounds for Schrödinger eigenstates, The distribution of the area under a Bessel excursion and its moments, Hölder continuity property of the densities of SDEs with singular drift coefficients, Une extension des théorèmes de Ray et Knight sur les temps locaux Browniens. (An extension of the theorems of Ray and Knight on Brownian local times), Integrated Brownian motion, conditioned to be positive, A nonsymmetric correlation inequality for Gaussian measure, Statistical inference for reciprocal gamma diffusion process, Snapping out Walsh's Brownian motion and related stiff problem, Hitting distribution to a quadrant of two-dimensional random walk, Reaction-diffusion in a closed domain formed by irregular curves, Asymptotic properties of some underdiagonal walks generation algorithms, A limit theorem for branching one-dimensional periodic diffusion processes, Windings of Brownian motion and random walks in the plane, Structure of strictly Markov marked random closed sets, On the distribution of supremum of diffusion local time, A ratio ergodic theorem for increasing additive functionals, A super-Brownian motion with a single point catalyst, Synchronization of firing times in a stochastic neural network model with excitatory connections, Parabolicity, the divergence theorem for \(\delta\)-subharmonic functions and applications to the Liouville theorems for harmonic maps, Generalization on optimal multiple stopping with application to swing options with random exercise rights number, Some connections between excursion theory and the discrete Schrödinger equation with random potentials, Rate of escape of conditioned Brownian motion, An occupation time related potential measure for diffusion processes, Symmetry of stochastic non-variational differential equations, On the behavior of solutions to certain parabolic SPDE's driven by Wiener processes., Zero temperature limit for interacting Brownian particles. II: Coagulation in one dimension., Continuous integral kernels for unbounded Schrödinger semigroups and their spectral projections, Strong solutions of stochastic differential equations with generalized drift and multidimensional fractional Brownian initial noise, An ideal class to construct solutions for skew Brownian motion equations, Shiga-Watanabe's time inversion property for self-similar diffusion processes, Law of the iterated logarithm and local variations at zero of the sticky Brownian motion, The lifetime of conditioned diffusions associated with some degenerate elliptic operators, Martingale estimation functions for Bessel processes, Minimising the expected commute time, Finite approximation schemes for Lévy processes, and their application to optimal stopping problems, Monotonicity of the reflected Bessel transition density on the diagonal, Excessive measures for linear diffusions, Spread rate of branching Brownian motions, A strong approximation for logarithmic averages of partial sums of random variables, Generalized disconnection exponents, An analytic expression for the distribution of the generalized Shiryaev-Roberts diffusion. The Fourier spectral expansion approach, Some explicit results on first exit times for a jump diffusion process involving semimartingale local time, One-dimensional diffusion and stochastic differential equation, Hua-Pickrell diffusions and Feller processes on the boundary of the graph of spectra, A direct solution method for pricing options involving the maximum process, Fine mesh limit of the VRJP in dimension one and Bass-Burdzy flow, Scaling limit for the ant in a simple high-dimensional labyrinth, Timing in the presence of directional predictability: optimal stopping of skew Brownian motion, Bottom crossing probability for symmetric jump processes, Eigenvalue bounds and spectral asymptotics for fractal Laplacians, Invariance principle for non-homogeneous random walks, Construction of generalized diffusion processes: the resolvent approach, On the maximum increase and decrease of one-dimensional diffusions, Boundary traces of shift-invariant diffusions in half-plane, On the singular values of complex matrix Brownian motion with a matrix drift, Hitting times of Bessel processes, Cosine families and semigroups really differ, Density symmetries for a class of 2-D diffusions with applications to finance, Simulating diffusion processes in discontinuous media: a numerical scheme with constant time steps, Parameter estimation for non-stationary Fisher-Snedecor diffusion, Two Brownian particles with rank-based characteristics and skew-elastic collisions, Limit theorems for local and occupation times of random walks and Brownian motion on a spider, An exponential timestepping algorithm for diffusion with discontinuous coefficients, On the semi-group of a scaled skew Bessel process, On moments of integral exponential functionals of additive processes, Fine properties of fractional Brownian motions on Wiener space, Random real trees, Intrinsic ultracontractivity and small perturbation for one-dimensional generalized diffusion operators, Spectral gaps without the pressure condition, Quenched distributions for the maximum, minimum and local time of the Brox diffusion, Nash equilibria of threshold type for two-player nonzero-sum games of stopping, Markov processes conditioned on their location at large exponential times, On optimal stopping of multidimensional diffusions, Towards a characterization of Markov processes enjoying the time-inversion property, Diffusion occupation time before exiting, Diffusion local time storage, Lévy, Ornstein-Uhlenbeck, and subordination: spectral vs. jump description, An alternative approach to modelling relapse in cancer with an application to adenocarcinoma of the prostate, Singular time changes of diffusions on Sierpiński carpets, A joint Laplace transform for pre-exit diffusion of occupation times, \(L^p\)-estimates on diffusion processes, A remark about the norm of a Brownian bridge, On the multi-dimensional skew Brownian motion, Invariant diffusion processes under Lie group actions, Optimal stopping of oscillating Brownian motion, Extreme at-the-money skew in a local volatility model, Absolute continuity of diffusion bridges, Discretionary stopping of stochastic differential equations with generalised drift, On occupation times of one-dimensional diffusions, Strong rate of convergence for the Euler-Maruyama approximation of stochastic differential equations with irregular coefficients, On the maximal displacement of near-critical branching random walks, Numerical approximation of high-dimensional Fokker-Planck equations with polynomial coefficients, Skew Ornstein-Uhlenbeck processes and their financial applications, Explicit solutions of Volterra integro-differential convolution equations, On contingent-claim valuation in continuous-time for volatility models of Ornstein-Uhlenbeck type, Integral Representations of Certain Measures in the One-Dimensional Diffusions Excursion Theory, On h-Transforms of One-Dimensional Diffusions Stopped upon Hitting Zero, Time and place of the maximum for one-dimensional diffusion bridges and meanders, Discrete-time approximation of functionals in models of Ornstein-Uhlenbeck type, with applications to finance, Sorting probability of Catalan posets, On the torsion function with mixed boundary conditions, Boundary Value Problems for Statistics of Diffusion in a Randomly Switching Environment: PDE and SDE Perspectives, Laws of the iterated logarithm for intersections of Wiener sausages in critical dimensions, Geometry of spacetime propagation of spinning particles, An analysis of budgeted parallel search on conditional Galton-Watson trees, Coupled Brownian motions and partial domain monotonicity for the Neumann heat kernel, Stopping spikes, continuation bays and other features of optimal stopping with finite-time horizon, Long-time heat kernel estimates and upper rate functions of Brownian motion type for symmetric jump processes, Birth-death chains on a spider: spectral analysis and reflecting-absorbing factorization, Hitting time of a moving boundary for a diffusion, Two continua of embedded regenerative sets, The one-dimensional diffusion process and unitary representations of \(R^ 1\)., Some properties of density functions on maxima of solutions to one-dimensional stochastic differential equations, Silverstein extension and Fukushima extension, Asymmetric skew Bessel processes and their applications to finance, Strong invariance principle for singular diffusions., On the optimal stopping problem for one-dimensional diffusions., Strong approximations of additive functionals of a planar Brownian motion., On the existence and the Hölder regularity of the local time of the Brownian bridge, On density functions related to discrete time maximum of some one-dimensional diffusion processes, On the maximal displacement of critical branching random walk