Occupation times of compact sets by planar brownian motion
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Displaying 1 – 20 of 66
On a result of David Aldous concerning the trees in a conditioned excursion.
Warren, Jon (1999)
Electronic Communications in Probability [electronic only]
On a stopped brownian motion formula of H. M. Taylor
David Williams (1976)
Séminaire de probabilités de Strasbourg
On a triplet of exponential brownian functionals
Larbi Alili, Hiroyuki Matsumoto, Tomoyuki Shiraishi (2001)
Séminaire de probabilités de Strasbourg
On an identity in law obtained by A. Földes and P. Révész
Marc Yor (1993)
Annales de l'I.H.P. Probabilités et statistiques
On brownian local time
Martin T. Barlow (1981)
Séminaire de probabilités de Strasbourg
On certain almost brownian filtrations
M. Émery (2005)
Annales de l'I.H.P. Probabilités et statistiques
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
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
Samia Beghdadi-Sakrani, Michel Émery (1999)
Séminaire de probabilités de Strasbourg
On certain probabilities equivalent to Wiener measure, d'après Dubins, Feldman, Smorodinsky and Tsirelson
Walter Schachermayer (1999)
Séminaire de probabilités de Strasbourg
On changing time
R. Cairoli, J. B. Walsh (1977)
Séminaire de probabilités de Strasbourg
On conditioning random walks in an exponential family to stay nonnegative
Jean Bertoin, R.A. Doney (1994)
Séminaire de probabilités de Strasbourg
On conformally invariant subsets of the planar brownian curve
Vincent Beffara (2003)
Annales de l'I.H.P. Probabilités et statistiques
On differences of heat semigroups
J. A. Van Casteren, M. Demuth (1989)
Annales scientifiques de l'Université de Clermont-Ferrand 2. Série Probabilités et applications
On distributions of special non-homogeneous functionals of Brownian motion.
Borodin, A.N. (2004)
Zapiski Nauchnykh Seminarov POMI
On equivalence of a class of random processes in Hilbert space and a Wiener process.
Petruševski, Ljiljana (1989)
Publications de l'Institut Mathématique. Nouvelle Série
On equivalence of a process of diffusion type in Hilbert space and a Wiener process.
Petruševski, Ljiljana (1989)
Publications de l'Institut Mathématique. Nouvelle Série
On filtrations of brownian polynomials
Alok Goswami, B. V. Rao (1991)
Séminaire de probabilités de Strasbourg
On independent times and positions for Brownian motions.
Bernard de Meyer, Bernard Roynette, Pierre Vallois, Marc Yor (2002)
Revista Matemática Iberoamericana
On Ito's formula of Föllmer and Protter
Nathalie Eisenbaum (2001)
Séminaire de probabilités de Strasbourg
Currently displaying 1 – 20 of 66
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