scientific article; zbMATH DE number 936418

zbMATH Open0863.60035MaRDI QIDQ4896013FDOQ4896013

Jim Pitman, Marc Yor

Publication date: 24 November 1996

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

zbMATH Keywords

Bessel processBessel bridge

Mathematics Subject Classification ID

Markov processes (60J99) Stochastic integrals (60H05) General theory of stochastic processes (60G07)

Cited In (7)

• An identity in law involving reflecting Brownian motion, derived from generalized arc-sine laws for perturbed Brownian motions
• Pricing path-dependent options in a Black-Scholes market from the distribution of homogeneous Brownian functionals
• Study of a functional linked to Bessel bridge
• A stochastically quasi-optimal search algorithm for the maximum of the simple random walk
• Asymptotic estimates of solutions of \(u_ t - \frac12\Delta u =-|\nabla u|\) in \(\mathbb{R}_ + \times \mathbb{R}^ d,\quad d\geq 2\)
• Some Brownian functionals and their laws
• Some remarks about the identity in law for the Bessel bridge \(\int_0^1 {ds \over r(s)} \overset\text{(law)}= 2\sup_{s\leq 1} r(s)\)

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