scientific article; zbMATH DE number 936418
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zbMATH Open0863.60035MaRDI QIDQ4896013FDOQ4896013
Authors: Marc Yor, Jim Pitman 
Publication date: 24 November 1996
Title of this publication is not available (Why is that?)
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Markov processes (60J99) Stochastic integrals (60H05) General theory of stochastic processes (60G07)
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- An identity in law involving reflecting Brownian motion, derived from generalized arc-sine laws for perturbed Brownian motions
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- On the Behaviour of Certain Bessel Functional. An Application to a Class of Stochastic Differential Equations
- On the first time that a 3-D Bessel bridge hits a boundary
- On SDEs for Bessel processes in low dimension and path-dependent extensions
- Pricing path-dependent options in a Black-Scholes market from the distribution of homogeneous Brownian functionals
- Study of a functional linked to Bessel bridge
- Wiener integrals for centered powers of Bessel processes. I
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- Bismut-Elworthy-Li formulae for Bessel processes
- Bessel bridges decomposition with varying dimension: applications to finance
- A stochastically quasi-optimal search algorithm for the maximum of the simple random walk
- Call option prices based on Bessel processes
- On certain integral functionals of squared Bessel processes
- Convergence of some integrals associated with Bessel processes
- 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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