scientific article; zbMATH DE number 936418
From MaRDI portal
Publication:4896013
Recommendations
- Some remarks about the identity in law for the Bessel bridge \(\int_0^1 {ds \over r(s)} \overset\text{(law)}= 2\sup_{s\leq 1} r(s)\)
- On the Behaviour of Certain Bessel Functional. An Application to a Class of Stochastic Differential Equations
- scientific article; zbMATH DE number 4155617
- On certain integral functionals of squared Bessel processes
- Bessel bridges decomposition with varying dimension: applications to finance
Cited in
(20)- The law of the maximum of a Bessel bridge
- Abel transform and integrals of Bessel local times
- Some Brownian functionals and their laws
- A stochastically quasi-optimal search algorithm for the maximum of the simple random walk
- An identity in law involving reflecting Brownian motion, derived from generalized arc-sine laws for perturbed Brownian motions
- Study of a functional linked to Bessel bridge
- scientific article; zbMATH DE number 1619475 (Why is no real title available?)
- Convergence of some integrals associated with Bessel processes
- Some remarks about the identity in law for the Bessel bridge \(\int_0^1 {ds \over r(s)} \overset\text{(law)}= 2\sup_{s\leq 1} r(s)\)
- On certain integral functionals of squared Bessel processes
- On the first time that a 3-D Bessel bridge hits a boundary
- scientific article; zbMATH DE number 4155617 (Why is no real title available?)
- Wiener integrals for centered powers of Bessel processes. I
- On the Behaviour of Certain Bessel Functional. An Application to a Class of Stochastic Differential Equations
- Pricing path-dependent options in a Black-Scholes market from the distribution of homogeneous Brownian functionals
- Bessel bridges decomposition with varying dimension: applications to finance
- Bismut-Elworthy-Li formulae for Bessel processes
- Call option prices based on Bessel processes
- On SDEs for Bessel processes in low dimension and path-dependent extensions
- Asymptotic estimates of solutions of \(u_ t - \frac12\Delta u =-|\nabla u|\) in \(\mathbb{R}_ + \times \mathbb{R}^ d,\quad d\geq 2\)
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 Q4896013)
