Integral representation of martingales in the brownian excursion filtration
P. Mc Gill (1986)
Séminaire de probabilités de Strasbourg
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P. Mc Gill (1986)
Séminaire de probabilités de Strasbourg
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P. Mc Gill (1981)
Séminaire de probabilités de Strasbourg
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Kai Lai Chung (1980)
Séminaire de probabilités de Strasbourg
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Matsumoto, Hiroyuki, Yor, Marc (1999)
Electronic Communications in Probability [electronic only]
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John C. Taylor (1978)
Séminaire de probabilités de Strasbourg
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David Williams (1979)
Séminaire de probabilités de Strasbourg
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F. Delarue (2008)
Annales de l'I.H.P. Probabilités et statistiques
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We discuss the long time behavior of a two-dimensional reflected diffusion in the unit square and investigate more specifically the hitting time of a neighborhood of the origin. We distinguish three different regimes depending on the sign of the correlation coefficient of the diffusion matrix at the point 0. For a positive correlation coefficient, the expectation of the hitting time is uniformly bounded as the neighborhood shrinks. For a negative one, the expectation explodes in a polynomial...
Meyer, Paul-André (2009)
Journal Électronique d'Histoire des Probabilités et de la Statistique [electronic only]
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Richard F. Bass (1987)
Séminaire de probabilités de Strasbourg
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