Aspects of Brownian motion
Riemann zeta functionDirichlet processconfluent hypergeometric functionsquadratic functionalsHilbert transformJacobi theta functionergodic propertytransfer principleAsian optionsexcursion theoryWalsh's Brownian motionprincipal valueswinding numbersspace-time harmonic functionsGaussian spaceBessel bridgesadditivity propertyBertoin's excursion theory for BES(d)beta and gamma variablesBiane's extensionsBismut's identityBrownian laceChung's identityCiesielski--Taylor identitiesconvolution of hitting timesFeynmann--Kac formulafiltration of Brownian bridgesfirst Wiener chaosFubini--Wiener integration by partsGauss linking numbergeneralized meandersHartman--Watson distributionKallianpur--Robbins ergodic theoremKnight's ratio formulalocal time perturbation of Brownian motionOrnstein--Uhlenbeck processPetit's extensionsRay--Knight theoremsSpitzer's theoremYamada's formulaeLévy's area formulaLévy's arc sine lawLévy--Khintchine representation
- Two-stage receiver operating-characteristic curve estimator for cohort studies
- scientific article; zbMATH DE number 206027 (Why is no real title available?)
- Planar Brownian motion winds evenly along its trajectory
- On SDEs for Bessel processes in low dimension and path-dependent extensions
- Stability of the optimal filter in continuous time: beyond the Beneš filter
- On moments of Brownian functionals and their interpretation in terms of random walks
- The Arcsine law as the limit of the internal DLA cluster generated by Sinai's walk
- Time and place of the maximum for one-dimensional diffusion bridges and meanders
- Derivatives on nonstorable renewable resources: fish futures and options, not so fishy after all
- scientific article; zbMATH DE number 6193911 (Why is no real title available?)
- Another look at the Hartman-Watson distributions
- Holonomy of the planar Brownian motion in a Poisson punctured plane
- A note on switching property for squared Bessel process
- On the density of the winding number of planar Brownian motion
- How rare are power-law networks really?
- A one-factor conditionally linear commodity pricing model under partial information
- On an identity in law between Brownian quadratic functionals
- The fractional derivative for fractional Brownian local time with Hurst index large than 1/2
- Hilbert transform of \(G\)-Brownian local time
- scientific article; zbMATH DE number 1783075 (Why is no real title available?)
- Stochastic analysis \& discrete quantum systems
- Large Deviations for Clocks of Self-similar Processes
- A variant of Pitman's theorem on \((2J_s-R_s,s\geq 0)\) for a general transient Bessel process \(R_{(+)}\) and its implications for the corresponding Ito's measure \(\mathbf n_{(-)}\)
- Non-crossing Brownian paths and Dyson Brownian motion under a moving boundary
- Ray Knight theorems for spectrally negative Lévy processes
- Penalizing fractional Brownian motion for being negative
- Local times for spectrally negative Lévy processes
- Scaling limit of the local time of random walks conditioned to stay positive
- Two population models with constrained migrations
- On bivariate distributions of the local time of Itô-McKean diffusions
- Lévy area without approximation
- h-Transforms and Orthogonal Polynomials
- Moments and Mellin transform of the asset price in Stein and Stein model and option pricing
- Representations and isomorphism identities for infinitely divisible processes
- Concatenation of Nonhonest Feller Processes, Exit Laws, and Limit Theorems on Graphs
- On the local times of noise reinforced Bessel processes
- Noise and error analysis and optimization in particle-based kinetic plasma simulations
- Explicit formulae in probability and in statistical physics
- Another approach to Brownian motion
- Efficient almost-exact Lévy area sampling
- Independent factorization of the last zero arcsine law for Bessel processes with drift
- On the distribution of verhulst process
- On the convex hull and winding number of self-similar processes
- Pairs of complementary transmission conditions for Brownian motion
- Invariance formulas for stopping times of squared Bessel process
- Study of a Brownian impulse.
- Hypoelliptic heat kernels on infinite-dimensional Heisenberg groups
- An integral functional driven by fractional Brownian motion
- Dual representations of Laplace transforms of Brownian excursion and generalized meanders
- The SIAM 100-Digit Challenge: a decade later. Inspirations, ramifications, and other eddies left in its wake
- An averaged space-time discretization of the stochastic \(p\)-Laplace system
- Diffusion approximation for a simple kinetic model with asymmetric interface
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