On the joint distribution of the maximum and its location for a linear diffusion
Endre Csáki, Antónia Földes, Paavo Salminen (1987)
Annales de l'I.H.P. Probabilités et statistiques
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Displaying similar documents to “Upper and lower limits of doubly perturbed brownian motion”
On the joint distribution of the maximum and its location for a linear diffusion
Asymptotics for an arcsin type result
David Hobson (1994)
Annales de l'I.H.P. Probabilités et statistiques
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The average density of super-brownian motion
Peter Mörters (2001)
Annales de l'I.H.P. Probabilités et statistiques
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On an identity in law obtained by A. Földes and P. Révész
Marc Yor (1993)
Annales de l'I.H.P. Probabilités et statistiques
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Geodesics and crossing brownian motion in a soft poissonian potential
Mario V. Wüthrich (1999)
Annales de l'I.H.P. Probabilités et statistiques
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Exponential functionals of brownian motion and class-one Whittaker functions
Fabrice Baudoin, Neil O’Connell (2011)
Annales de l'I.H.P. Probabilités et statistiques
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We consider exponential functionals of a brownian motion with drift in ℝ, defined via a collection of linear functionals. We give a characterisation of the Laplace transform of their joint law as the unique bounded solution, up to a constant factor, to a Schrödinger-type partial differential equation. We derive a similar equation for the probability density. We then characterise all diffusions which can be interpreted as having the law of the brownian motion with drift conditioned on...