Some aspects of Brownian motion, Part I: Some special functionals
This book represents approximately the first half of lectures given by the author in the Nachdiplomvorlesung at ETH (1991-1992). A good number of presented results is new and belongs to the author. The text is organized in 9 chapters, each of which is devoted to study the laws of some particular classes of Brownian functionals. More precisely: Gaussian subspaces of Gaussian space are studied in the Chapter 1, quadratic functionals of Brownian motion and squares of Bessel processes in Chapter 2. Chapter 3 is devoted to the Brownian local times, Ray-Knight theorem and its generalizations and their connections with Bessel processes. Chapter 4 contains some modifications of Ciesielski- Taylor identities based on Right-Knight theorems. In Chapters 5 and 7 exact and asymptotic results about the winding numbers of one or several planar Brownian motions around one or several points, or straight lines, or curves are studied. Chapter 6 is devoted to some exponential functionals with emphasis on the problem of Asian options useful for mathematical finance. In Chapters 8 and 9 the author presents some newer extensions of Lévy's arc sin law. Chapter 9 contains results on the properties of reflected Brownian motion perturbed by its local time at 0. The last results are obtained while teaching the cours. Each chapter contains a few exercises which help the reader to understand the text. In all, this book may be of interest to researchers and post-graduated students in probability theory as well as in applied fields.
- Itô's excursion theory and its applications
- Further results on some singular linear stochastic differential equations
- Moderate deviations for squared radial Ornstein-Uhlenbeck process
- On exact simulation algorithms for some distributions related to Jacobi theta functions
- Transient nearest neighbor random walk and Bessel process
- An excursion approach to Ray-Knight theorems for perturbed Brownian motion
- Semiflexible polymers in straining flows
- Windings of Brownian motion and random walks in the plane
- Random Brownian scaling identities and splicing of Bessel processes
- On extremal theory for self-similar processes
- From planar Brownian windings to Asian options
- Some extensions of the arc sine law as partial consequences of the scaling property of Brownian motion
- A Shorokhod problem with singular drift and its application to the origin of universes
- The distributions of annuities
- Some Brownian functionals and their laws
- Brownian motion normalized by maximum local time
- Approximation of stopped Brownian local time by diadic crossing chains
- Quadratic functionals and small ball probabilities for the \(m\)-fold integrated Brownian motion
- Function space integration for annuities.
- Perpetual options and Canadization through fluctuation theory
- AIMD algorithms and exponential functionals
- Brownian sheet and capacity
- Excursions for polymers in elongational flows.
- An identity in law involving reflecting Brownian motion, derived from generalized arc-sine laws for perturbed Brownian motions
- Some calculations for doubly perturbed Brownian motion
- Canonical decomposition of linear transformations of two independent Brownian motions motivated by models of insider trading
- The random pseudo-metric on a graph defined via the zero-set of the Gaussian free field on its metric graph
- Brownian analogues of Burke's theorem.
- Conditioned stochastic differential equations: theory, examples and application to finance.
- A parallel between Brownian bridges and gamma bridges
- On the Brownian-directed polymer in a Gaussian random environment
- An interpretation and some generalizations of the Anderson-Darling statistics in terms of squared Bessel bridges
- The SDE solved by local times of a Brownian excursion or bridge derived from the height profile of a random tree or forest
- A new factorization property of the selfdecomposable probability measures.
- Green's formula, planar Brownian bridge, and Lévy's area
- Upper and lower classes for \(\mathbb{L}^ 2\)- and \(\mathbb{L}^ p\)-norms of Brownian motion and norms of \(\alpha\)-stable motion
- Hitting times of Bessel processes
- On the laws of total local times for \(h\)-paths and bridges of symmetric Lévy processes
- Favourite sites of transient Brownian motion
- Limit theorems for loop soup random variables
- An exactly solvable continuous-time Derrida-Retaux model
- Squared Bessel processes of positive and negative dimension embedded in Brownian local times
- Path decompositions of perturbed reflecting Brownian motions
- Infinite systems of noncolliding generalized meanders and Riemann-Liouville differintegrals
- Accurate pricing formulas for Asian options
- Lévy processes, pseudo-differential operators and Dirichlet forms in the Heisenberg group
- Equivalence of Volterra processes: Degenerate case
- On quadratic functionals of the Brownian sheet and related processes
- Large deviations for squared radial Ornstein-Uhlenbeck processes.
- A Karhunen-Loève expansion for a mean-centered Brownian bridge
- Quaternionic Brownian windings
- Probability laws related to the Jacobi theta and Riemann zeta functions, and Brownian excur\-sions
- Large Deviations for Clocks of Self-similar Processes
- The Kolmogorov operator and classical mechanics
- Small time equivalents for the density of a planar quadratric diffusion
- Correlated continuous-time random walks -- scaling limits and Langevin picture
- Effective Langevin equations for constrained stochastic processes
- PUT OPTION PRICES AS JOINT DISTRIBUTION FUNCTIONS IN STRIKE AND MATURITY: THE BLACK–SCHOLES CASE
- On ladder height densities and Laguerre series in the study of stochastic functionals. II. Exponential functionals of Brownian motion and Asian option values
- Finite-time stochastic reduction models
- Canonical representation for Gaussian processes
- scientific article; zbMATH DE number 66581 (Why is no real title available?)
- Chung’s law for integrated Brownian motion
- PASSPORT OPTIONS
- Fubini theorem for multiparameter stable process
- On absolutely continuous compensators and nonlinear filtering equations in default risk models
- Small Time Asymptotics for an Example of Strictly Hypoelliptic Heat Kernel
- Stochastic Volatility for Lévy Processes
- On potential theory of hyperbolic Brownian motion with drift
- Malliavin differentiability of the Heston volatility and applications to option pricing
- LAGUERRE SERIES IN CONTINGENT CLAIM VALUATION, WITH APPLICATIONS TO ASIAN OPTIONS
- Asymptotics of first-passage time over a one-sided stochastic boundary
- Exponential functionals of Brownian motion and related processes
- First-passage functionals for Ornstein–Uhlenbeck process with stochastic resetting
- Small-time expansion for the density of a planar (quadratic) Langevin diffusion
- An infinite-dimensional representation of the Ray-Knight theorems
- Correlation and the pricing of risks
- Occupation time, quantile and rank of the Ornstein-Uhlenbeck process and their applications to mathematical finance
- Arcsine laws for Brownian motion with Poissonian resetting
- From an Itô type calculus for Gaussian processes to integrals of log-normal processes increasing in the convex order
- The stochastic Jacobi flow
- Bachelier model with stopping time and its insurance application
- Integration by parts formulae for Wiener measures on a path space between two curves
- On some Fourier aspects of the construction of certain Wiener integrals
- Noncanonical representation with an infinite-dimensional orthogonal complement
- Aspects of Brownian motion
- The Ornstein-Uhlenbeck bridge and applications to Markov semigroups
- When does allow the Hardy inequality to calculate an exact Poincaré constant on a line?
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