On Lévy's downcrossing theorem and various extensions
On maximum increase and decrease of brownian motion
On nodal lines of Neumann eigenfunctions.
On reflecting brownian motion — a weak convergence approach
On regular points in Burgers turbulence with stable noise initial data
On Skorohod embedding in -dimensional brownian motion by means of natural stopping times
On some Brownian functionals and their applications to moments in the lognormal stochastic volatility model
We find a probabilistic representation of the Laplace transform of some special functional of geometric Brownian motion using squared Bessel and radial Ornstein-Uhlenbeck processes. Knowing the transition density functions of these processes, we obtain closed formulas for certain expectations of the relevant functional. Among other things we compute the Laplace transform of the exponent of the T transforms of Brownian motion with drift used by Donati-Martin, Matsumoto, and Yor in a variety of identities...
On Some Equivalence Transformations Of Hilbert Space Valued Standard Wiener Process
On some sample path properties of Skorohod integral processes
On spectral type of nonanticipative transformation of Wiener process
On subexponentiality of the Lev́y measure of the inverse local time; with applications to penalizations.
On symmetric stable random variables and matrix transposition
On the Azéma-Yor stopping time
On the Barlow-Yor inequalities for local time
On the constructions of the skew Brownian motion.
On the control of the difference between two Brownian motions: a dynamic copula approach
We propose new copulae to model the dependence between two Brownian motions and to control the distribution of their difference. Our approach is based on the copula between the Brownian motion and its reflection. We show that the class of admissible copulae for the Brownian motions are not limited to the class of Gaussian copulae and that it also contains asymmetric copulae. These copulae allow for the survival function of the difference between two Brownian motions to have higher value in the right...
On the control of the difference between two Brownian motions: an application to energy markets modeling
We derive a model based on the structure of dependence between a Brownian motion and its reflection according to a barrier. The structure of dependence presents two states of correlation: one of comonotonicity with a positive correlation and one of countermonotonicity with a negative correlation. This model of dependence between two Brownian motions B1 and B2 allows for the value of [...] to be higher than 1/2 when x is close to 0, which is not the case when the dependence is modeled by a constant...
On the distribution of the number of vertices in layers of random trees.
On the existence of positive solutions of semilinear elliptic equations with Dirichlet boundary conditions.
On the explosion of the local times along lines of brownian sheet