Occupation times of compact sets by planar brownian motion
On a result of David Aldous concerning the trees in a conditioned excursion.
On a stopped brownian motion formula of H. M. Taylor
On a triplet of exponential brownian functionals
On an identity in law obtained by A. Földes and P. Révész
On brownian local time
On certain almost brownian filtrations
On certain Markov processes attached to exponential functionals of Brownian motion: application to Asian options.
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.
On certain probabilities equivalent to coin-tossing, d'après Schachermayer
On certain probabilities equivalent to Wiener measure, d'après Dubins, Feldman, Smorodinsky and Tsirelson
On changing time
On conditioning random walks in an exponential family to stay nonnegative
On conformally invariant subsets of the planar brownian curve
On differences of heat semigroups
On distributions of special non-homogeneous functionals of Brownian motion.
On equivalence of a class of random processes in Hilbert space and a Wiener process.
On equivalence of a process of diffusion type in Hilbert space and a Wiener process.
On filtrations of brownian polynomials
On independent times and positions for Brownian motions.
On Ito's formula of Föllmer and Protter