Une solution simple au problème de Skorokhod

Jacques Azéma; Marc Yor

Séminaire de probabilités de Strasbourg (1979)

  • Volume: 13, page 90-115

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Azéma, Jacques, and Yor, Marc. "Une solution simple au problème de Skorokhod." Séminaire de probabilités de Strasbourg 13 (1979): 90-115. <http://eudml.org/doc/113263>.

@article{Azéma1979,
author = {Azéma, Jacques, Yor, Marc},
journal = {Séminaire de probabilités de Strasbourg},
keywords = {continuous martingales; Brownian motion; stopping times; local times},
language = {fre},
pages = {90-115},
publisher = {Springer - Lecture Notes in Mathematics},
title = {Une solution simple au problème de Skorokhod},
url = {http://eudml.org/doc/113263},
volume = {13},
year = {1979},
}

TY - JOUR
AU - Azéma, Jacques
AU - Yor, Marc
TI - Une solution simple au problème de Skorokhod
JO - Séminaire de probabilités de Strasbourg
PY - 1979
PB - Springer - Lecture Notes in Mathematics
VL - 13
SP - 90
EP - 115
LA - fre
KW - continuous martingales; Brownian motion; stopping times; local times
UR - http://eudml.org/doc/113263
ER -

References

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  2. [2]. Dubins, L.On a theorem of Skorokhod. Ann. Math. Statist.39, 2094-2097 (1968) Zbl0185.45103MR234520
  3. [3]. Karoui, N. El., Maurel, M.Un Problème de réflexion et ses applications au temps local et aux équations différentielles stochastiques sur IR. Cas continu. Astérisque, 52-53, 117-144 (1978) 
  4. [4]. Kennedy, D.Some martingales related to cumulative sum tests and single-server queues, in : Stochastic processes and their applications4, 261-269 (1976) Zbl0338.60030MR420834
  5. [5]. Knight, F.Random walks and a sojourn density process of Brownian motion. Trans. Amer. Math. Soc.109, 56-86 (1963) Zbl0119.14604MR154337
  6. [6]. Knight, F.On the sojourn times of killed Brownian motion. Sém. Probab. XII, Lecture Notes in Math.649, Springer (1978) Zbl0376.60082MR520018
  7. [7]. Lehoczky, J.Formulas for stopped diffusion processes, with stopping times based on the maximum. Ann. Probability, 5, 601-608 (1977) Zbl0367.60093MR458570
  8. [8]. Levy, P.Processus stochastiques et mouvement brownien. Gauthier-Villars. Seconde édition. (1965) Zbl0137.11602MR190953
  9. [9]. Ray D., Sojourn times of diffusion processes. Illinois J. Math.7, 615-630 (1963) Zbl0118.13403MR156383
  10. [10]. Root, D.H.The existence of certain stopping times on Brownian motion. Ann. Math. Statist. vol. 40, n°2, 715-718 (1969) Zbl0174.21902MR238394
  11. [11]. Skorokhod, A.Studies in the theory of random processes. Addison-Wesley, Reading (1965) Zbl0146.37701MR185620
  12. [12]. Taylor, H.M.A stopped Brownian motion formula. Ann. Probability3, 234-246 (1975) Zbl0303.60072MR375486
  13. [13]. Williams, D.On a stopped Brownian motion formula of H.M. Taylor. Sém. Probab. X, Lecture Notes in Math.511, Springer (1976) Zbl0368.60056MR461687
  14. [14]. Williams, D.Markov properties of Brownian local times. Bull. Amer. Math. Soc.75, 1035-1036 (1969) Zbl0266.60060MR245095
  15. [15]. Yoeurp, Ch.. Compléments sur les temps locaux et les quasi-martingales. Astérisque, 52-53, 197-218 (1978) 
  16. [16]. Yor, M.Sur la continuité des temps locaux associés à certaines semi-martingales. Astérisque, 52-53, 23-35 (1978) 
  17. [17]. Yor, M.Sur les théories du filtrage et de la prédiction. Sém. Probab. XI, Lecture Notes in Math.581, Springer (1977) Zbl0367.60041MR471060
  18. [18]. Azema, J.Représentation multiplicative d'une surmartingale bornée. (A paraître au Z.W.) Zbl0389.60033
  19. [19]. Azema, J., Yor, M., En guise d'introduction (à un volume d'"Asténsque" sur les temps locaux). Astérisque, 52-53, 3-16 (1978) MR509476

Citations in EuDML Documents

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  1. Isaac Meilijson, On the Azéma-Yor stopping time
  2. P. Mc Gill, A direct proof of the Ray-Knight theorem
  3. Wendelin Werner, Some remarks on perturbed reflecting brownian motion
  4. Michèle Basseville, Déviations par rapport au maximum : formules d'arrêt et martingales associées
  5. J. L. Pedersen, G. Peškir, Computing the expectation of the Azéma-Yor stopping times
  6. L. C. G. Rogers, David Williams, Time-substitution based on fluctuating additive functionals (Wiener-Hopf factorization for infinitesimal generators)
  7. Pierre Vallois, Le problème de Skorokhod sur : une approche avec le temps local
  8. Lester E. Dubins, Michel Émery, Marc Yor, A continuous martingale in the plane that may spiral away to infinity
  9. Michel Pierre, Le problème de Skorokhod : une remarque sur la démonstration d'Azéma-Yor
  10. R.A. Doney, Some calculations for perturbed brownian motion

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