Displaying similar documents to “Distributions of functionals of diffusions with jumps.”

q-White noise and non-adapted stochastic integral

Un Cig Ji, Byeong Su Min (2006)

Banach Center Publications

Similarity:

The q-white noise is studied as the time derivative of the q-Brownian motion. As an application of the q-white noise, a non-adapted (non-commutative) stochastic integral with respect to the q-Brownian motion is constructed.

Revisiting the sample path of Brownian motion

S. James Taylor (2006)

Banach Center Publications

Similarity:

Brownian motion is the most studied of all stochastic processes; it is also the basis for stochastic analysis developed in the second half of the 20th century. The fine properties of the sample path of a Brownian motion have been carefully studied, starting with the fundamental work of Paul Lévy who also considered more general processes with independent increments and extended the Brownian motion results to this class. Lévy showed that a Brownian path in d (d ≥ 2) dimensions had zero...

Variably skewed Brownian motion.

Barlow, Martin, Burdzy, Krzysztof, Kaspi, Haya, Mandelbaum, Avi (2000)

Electronic Communications in Probability [electronic only]

Similarity:

On some Brownian functionals and their applications to moments in the lognormal stochastic volatility model

Jacek Jakubowski, Maciej Wiśniewolski (2013)

Studia Mathematica

Similarity:

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...