A connection between Gaussian processes and Markov processes.
A direct proof of the Ray-Knight theorem
A generalized Itô's formula in two-dimensions and stochastic Lebesgue-Stieltjes integrals.
A local time inequality for martingales
A martingale approach to some Wiener-Hopf problems, I
A maximal inequality for martingale local times
A note on occupation times of stationary processes.
A note on random walk in random scenery
A renormalized local time for multiple intersections of planar brownian motion
A second order SDE for the Langevin process reflected at a completely inelastic boundary
It was shown in [2] that a Langevin process can be reflected at an energy absorbing boundary. Here, we establish that the law of this reflecting process can be characterized as the unique weak solution to a certain second order stochastic differential equation with constraints, which is in sharp contrast with a deterministic analog.
A trivariate law for certain processes related to perturbed brownian motions
Abel transform and integrals of Bessel local times
Additive functionals and excursions of Kuznetsov processes.
Additive functionals of Markov processes and stochastic systems
Intuitively, an additive functional of a stochastic process gives a method to measure time taking into account the development of the process. We associate with any set of states the mathematical expectation of time belongs to . In this way, we establish to one-to-one correspondence between all the normal additive functionals of a Markov process and all the -finite measures on the state space which charge no inaccessible set. This is proved under the condition that transition probabilities...
Amplitude du mouvement Brownien et juxtaposition des excursions positives et négatives
An almost sure invariance principle for renormalized intersection local times.
An equation involving local time
An extension of Motoo's theorem
An optimal Itô formula for Lévy processes.
Annealed deviations of random walk in random scenery