On local times of a diffusion
On spectral measures of strings and excursions of quasi-diffusions
On maximum increase and decrease of brownian motion
Properties of perpetual integral functionals of brownian motion with drift
On the joint distribution of the maximum and its location for a linear diffusion
Differentiability of excessive functions of one-dimensional diffusions and the principle of smooth fit
The principle of smooth fit is probably the most used tool to find solutions to optimal stopping problems of one-dimensional diffusions. It is important, e.g., in financial mathematical applications to understand in which kind of models and problems smooth fit can fail. In this paper we connect-in case of one-dimensional diffusions-the validity of smooth fit and the differentiability of excessive functions. The basic tool to derive the results is the representation theory of excessive functions;...
A note on occupation times of stationary processes.
Perpetual integral functionals as hitting and occupation times.
A note on a.s. finiteness of perpetual integral functionals of diffusions.
On subexponentiality of the Lev́y measure of the inverse local time; with applications to penalizations.
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