On extremal solutions of martingale problems
D. W. Stroock, M. Yor (1980)
Annales scientifiques de l'École Normale Supérieure
Similarity:
Displaying similar documents to “The calculus of boundary processes”
On extremal solutions of martingale problems
Beta-gamma random variables and intertwining relations between certain Markov processes.
Philippe Carmona, Frédérique Petit, Marc Yor (1998)
Revista Matemática Iberoamericana
Similarity:
In this paper, we study particular examples of the intertwining relation
QtΛ = ΛPt
between two Markov semi-groups (Pt, t ≥ 0) defined respectively on (E,ε) and (F,
Local times and almost sure convergence of semi-martingales
B. Rajeev, M. Yor (1995)
Annales de l'I.H.P. Probabilités et statistiques
Similarity:
On certain Markov processes attached to exponential functionals of Brownian motion: application to Asian options.
Catherine Donati-Martin, Raouf Ghomrasni, Marc Yor (2001)
Revista Matemática Iberoamericana
Similarity:
We obtain a closed formula for the Laplace transform of the first moment of certain exponential functionals of Brownian motion with drift, which gives the price of Asian options. The proof relies on an identity in law between the average on [0,t] of a geometric Brownian motion and the value at time t of a Markov process, for which we can compute explicitly the resolvent.
Construction of semimartingales from pieces by the method of excursion point processes
Shinzo Watanabe (1987)
Annales de l'I.H.P. Probabilités et statistiques
Similarity:
An invariance principle for Azéma martingales
Nathanaël Enriquez (2007)
Annales de l'I.H.P. Probabilités et statistiques
Similarity: