On the hypercontractivity of Ornstein-Uhlenbeck semigroups with drift
On the joint distribution of the maximum and its location for a linear diffusion
On the martingale problem for super-brownian motion
On the martingales obtained by an extension due to Saisho, Tanemura and Yor of Pitman's theorem
On the maximum of a diffusion process in a drifted brownian environment
On the noncoalescence of a two point brownian motion reflecting on a circle
On the Onsager-Machlup functional for elliptic diffusion processes
On the principle of smooth fit for killed diffusions.
On the rate of growth of subordinators with slowly varying Laplace exponent
On the sample paths of diagonal brownian motions on the infinite dimensional torus
On the Skew Product of Symmetric Diffusion Processes.
On the tails of the supremum and the quadratic variation of strictly local martingales
On the uniqueness of solutions of stochastic differential equations with reflecting barrier conditions
On unique extension of time changed reflecting brownian motions
Let D be an unbounded domain in ℝd with d≥3. We show that if D contains an unbounded uniform domain, then the symmetric reflecting brownian motion (RBM) on ̅D is transient. Next assume that RBM X on ̅D is transient and let Y be its time change by Revuz measure 1D(x)m(x) dx for a strictly positive continuous integrable function m on ̅D. We further show that if there is some r>0 so that D∖̅B̅(̅0̅,̅ ̅r̅) is an unbounded uniform domain, then Y admits one and only one symmetric diffusion that...
On uniqueness of a solution of with given trace.
One-dimensional diffusion in an asymmetric random environment
One-dimensional diffusions and their exit spaces.
Optimal stopping and impulsive control of one-dimensional diffusion processes
Parametric inference for mixed models defined by stochastic differential equations
Non-linear mixed models defined by stochastic differential equations (SDEs) are considered: the parameters of the diffusion process are random variables and vary among the individuals. A maximum likelihood estimation method based on the Stochastic Approximation EM algorithm, is proposed. This estimation method uses the Euler-Maruyama approximation of the diffusion, achieved using latent auxiliary data introduced to complete the diffusion process between each pair of measurement instants. A tuned...
Penalisations of multidimensional Brownian motion, VI
As in preceding papers in which we studied the limits of penalized 1-dimensional Wiener measures with certain functionals Γt, we obtain here the existence of the limit, as t → ∞, of d-dimensional Wiener measures penalized by a function of the maximum up to time t of the Brownian winding process (for d = 2), or in {d}≥ 2 dimensions for Brownian motion prevented to exit a cone before time t. Various extensions of these multidimensional penalisations are studied, and the limit laws are described....