A connection between Gaussian processes and Markov processes.
Page 1 Next
Displaying 1 – 20 of 24
A direct proof of the Ray-Knight theorem
P. Mc Gill (1981)
Séminaire de probabilités de Strasbourg
A generalized Itô's formula in two-dimensions and stochastic Lebesgue-Stieltjes integrals.
Feng, Chunrong, Zhao, Huaizhong (2007)
Electronic Journal of Probability [electronic only]
A local time inequality for martingales
Saul D. Jacka (1983)
Séminaire de probabilités de Strasbourg
A martingale approach to some Wiener-Hopf problems, I
R. R. London, H. P. Mc Kean, L. C. G. Rogers, David Williams (1982)
Séminaire de probabilités de Strasbourg
A maximal inequality for martingale local times
Saul D. Jacka (1987)
Séminaire de probabilités de Strasbourg
A note on occupation times of stationary processes.
Kozlova, Marina, Salminen, Paavo (2005)
Electronic Communications in Probability [electronic only]
A note on random walk in random scenery
Amine Asselah, Fabienne Castell (2007)
Annales de l'I.H.P. Probabilités et statistiques
A renormalized local time for multiple intersections of planar brownian motion
Jay S. Rosen (1986)
Séminaire de probabilités de Strasbourg
A second order SDE for the Langevin process reflected at a completely inelastic boundary
Jean Bertoin (2008)
Journal of the European Mathematical Society
It was shown in [2] that a Langevin process can be reflected at an energy absorbing boundary. Here, we establish that the law of this reflecting process can be characterized as the unique weak solution to a certain second order stochastic differential equation with constraints, which is in sharp contrast with a deterministic analog.
A trivariate law for certain processes related to perturbed brownian motions
Philippe Carmona, Frédérique Petit, Marc Yor (2004)
Annales de l'I.H.P. Probabilités et statistiques
Abel transform and integrals of Bessel local times
Mihai Gradinaru, Bernard Roynette, Pierre Vallois, Marc Yor (1999)
Annales de l'I.H.P. Probabilités et statistiques
Additive functionals and excursions of Kuznetsov processes.
Boutabia, Hacène (2005)
International Journal of Mathematics and Mathematical Sciences
Additive functionals of Markov processes and stochastic systems
Evgeny B. Dynkin (1975)
Annales de l'institut Fourier
Intuitively, an additive functional of a stochastic process gives a method to measure time taking into account the development of the process. We associate with any set of states the mathematical expectation of time belongs to . In this way, we establish to one-to-one correspondence between all the normal additive functionals of a Markov process and all the -finite measures on the state space which charge no inaccessible set. This is proved under the condition that transition probabilities...
Amplitude du mouvement Brownien et juxtaposition des excursions positives et négatives
Pierre Vallois (1992)
Séminaire de probabilités de Strasbourg
An almost sure invariance principle for renormalized intersection local times.
Bass, Richard F., Rosen, Jay (2005)
Electronic Journal of Probability [electronic only]
An equation involving local time
Philip Protter, Alain-Sol Sznitman (1983)
Séminaire de probabilités de Strasbourg
An extension of Motoo's theorem
Joseph Glover (1982)
Séminaire de probabilités de Strasbourg
An optimal Itô formula for Lévy processes.
Eisenbaum, Nathalie, Walsh, Alexander (2009)
Electronic Communications in Probability [electronic only]
Annealed deviations of random walk in random scenery
Nina Gantert, Wolfgang König, Zhan Shi (2007)
Annales de l'I.H.P. Probabilités et statistiques
Currently displaying 1 – 20 of 24
Page 1 Next