Factorising brownian motion at two boundaries ; an example

Paul McGill

Annales de l'I.H.P. Probabilités et statistiques (1989)

  • Volume: 25, Issue: 4, page 517-531
  • ISSN: 0246-0203

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McGill, Paul. "Factorising brownian motion at two boundaries ; an example." Annales de l'I.H.P. Probabilités et statistiques 25.4 (1989): 517-531. <http://eudml.org/doc/77363>.

@article{McGill1989,
author = {McGill, Paul},
journal = {Annales de l'I.H.P. Probabilités et statistiques},
keywords = {factorisation; time-changing a Brownian motion; additive functional; complex martingale},
language = {eng},
number = {4},
pages = {517-531},
publisher = {Gauthier-Villars},
title = {Factorising brownian motion at two boundaries ; an example},
url = {http://eudml.org/doc/77363},
volume = {25},
year = {1989},
}

TY - JOUR
AU - McGill, Paul
TI - Factorising brownian motion at two boundaries ; an example
JO - Annales de l'I.H.P. Probabilités et statistiques
PY - 1989
PB - Gauthier-Villars
VL - 25
IS - 4
SP - 517
EP - 531
LA - eng
KW - factorisation; time-changing a Brownian motion; additive functional; complex martingale
UR - http://eudml.org/doc/77363
ER -

References

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  1. [1] N. Baker, Some Integral Equalities in Wiener-Hopf Theory. Stochastic Analysis and Applications, Springer Lect. Notes, No. 1095, 1984, pp. 169-186. Zbl0557.60071MR777521
  2. [2] C. Dellacherie and P.A. Meyer, Probabilités et Potentiel, Théorie des Martingales, Hermann, Paris, 1980. Zbl0464.60001MR566768
  3. [3] H. Dym and H.P. Mckean, Gaussian Processes, Function Theory, and the Inverse Spectral Problem, Academic Press, London and New York, 1976. Zbl0327.60029MR448523
  4. [4] A. Erdélyi, The Bateman Manuscript Project. Higher Transcendental Functions, Vol. 1, McGraw-Hill, New York, 1953. Zbl0051.30303
  5. [5] A. Erdélyi, The Bateman Manuscript Project. Integral Transforms, Vol. 1, McGraw-Hill, New York, 1953. 
  6. [6] K. Ito and H.P. Mckean, Diffusion Processes and Their Sample Paths, Springer Verlag, Berlin-Heidelberg-New York, 1965. Zbl0127.09503
  7. [7] R.R. London, H.P. Mckean, L.C.G. Rogers and D. Williams, A Martingale Approach to Some Wiener-Hopf Problems I, Séminaire de Probabilités XVI; Springer Lecture Notes, No. 920, 1982, pp. 41-67. Zbl0485.60072MR658671
  8. [8] B. Maisonneuve, Exit Systems, Ann. Prob., Vol. 3, 1975, pp. 399-411. Zbl0311.60047MR400417
  9. [9] P. Mcgill, Some Eigenvalue Identities for Brownian Motion, Math. Proc. Camb. Phil. Soc., 1989, 105, pp. 587-596. Zbl0678.60067MR985695
  10. [10] L.C.G. Rogers and D. Williams, Time Substitution Based on Fluctuating Assitive Functionals (Wiener-Hopf Factorisation for Infinitesimal Generators), Séminaire de Probabilités XIV ; Springer Lect. Notes, No. 784, 1980, pp. 324-331. Zbl0442.60075MR580139

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