-
1
-
-
0009195368
-
Some formulae for a new type of path-dependent option
-
AKAHORI, J. (1995). Some formulae for a new type of path-dependent option. Ann. Appl. Prob. 5, 383-388.
-
(1995)
Ann. Appl. Prob.
, vol.5
, pp. 383-388
-
-
Akahori, J.1
-
3
-
-
0039262974
-
Décomposition du mouvement brownien avec dérivé en un minimum local par juxtaposition de ses excursions positives et negatives
-
BERTOIN, J. (1991). Décomposition du mouvement brownien avec dérivé en un minimum local par juxtaposition de ses excursions positives et negatives. Sem. de Prob. XXV, Lect. Notes in Maths. 1485, 330-344.
-
(1991)
Sem. de Prob. XXV, Lect. Notes in Maths.
, vol.1485
, pp. 330-344
-
-
Bertoin, J.1
-
4
-
-
0031295107
-
Two chain-transformations and their applications to quantiles
-
BERTOIN, J., CHAUMONT, L. AND YOR, M. (1997). Two chain-transformations and their applications to quantiles. J. Appl. Prob. 34, 882-897.
-
(1997)
J. Appl. Prob.
, vol.34
, pp. 882-897
-
-
Bertoin, J.1
Chaumont, L.2
Yor, M.3
-
5
-
-
0013441717
-
Quelques précisions sur le meandre brownien
-
BIANE, PH. AND YOR, M. (1988). Quelques précisions sur le meandre brownien. Bull. Sci. Maths, 2nd Série 112, 101-109.
-
(1988)
Bull. Sci. Maths, 2nd Série
, vol.112
, pp. 101-109
-
-
Biane, Ph.1
Yor, M.2
-
6
-
-
0040184473
-
A generalization of a combinatorial theorem of Sparre Andersen about sums of random variables
-
BRANDT, A. (1961). A generalization of a combinatorial theorem of Sparre Andersen about sums of random variables. Math. Scand. 9, 352-358.
-
(1961)
Math. Scand.
, vol.9
, pp. 352-358
-
-
Brandt, A.1
-
7
-
-
0007019203
-
Excursions in Brownian motion
-
CHUNG, K.L. (1976). Excursions in Brownian motion. Ark. Mat. 14, 155-177.
-
(1976)
Ark. Mat.
, vol.14
, pp. 155-177
-
-
Chung, K.L.1
-
8
-
-
0001010150
-
On the joint distribution of the maximum and its location for a linear diffusion
-
CSAKI, E., FÖLDES, A. AND SALMINEN, P. (1987). On the joint distribution of the maximum and its location for a linear diffusion. Ann. Inst. Poincaré, Section B 23, 178-194.
-
(1987)
Ann. Inst. Poincaré, Section B
, vol.23
, pp. 178-194
-
-
Csaki, E.1
Földes, A.2
Salminen, P.3
-
9
-
-
0040778980
-
A random walk and a Wiener process near a maximum
-
DENISOV, I.V. (1985). A random walk and a Wiener process near a maximum. Th. Prob. Appl. 713-716.
-
(1985)
Th. Prob. Appl.
, pp. 713-716
-
-
Denisov, I.V.1
-
10
-
-
0000418638
-
A proof of Dassios' representation of the α-quantile of Brownian motion with drift
-
EMBRECHTS P., ROGERS, L.C.G. AND YOR, M. (1995). A proof of Dassios' representation of the α-quantile of Brownian Motion with drift. Ann. Appl. Prob. 5, 757-767.
-
(1995)
Ann. Appl. Prob.
, vol.5
, pp. 757-767
-
-
Embrechts, P.1
Rogers, L.C.G.2
Yor, M.3
-
11
-
-
0039000535
-
Remarks on the equivalence principle in fluctuation theory
-
HOBBY, C. AND PYKE, R. (1963). Remarks on the equivalence principle in fluctuation theory. Math. Scand. 12, 19-24.
-
(1963)
Math. Scand.
, vol.12
, pp. 19-24
-
-
Hobby, C.1
Pyke, R.2
-
12
-
-
0021493798
-
Density factorizations for Brownian motion, meander and the three-dimensional Bessel process, and applications
-
IMHOF, J.-P. (1984). Density factorizations for Brownian motion, meander and the three-dimensional Bessel process, and applications. J. Appl. Prob. 21, 500-510.
-
(1984)
J. Appl. Prob.
, vol.21
, pp. 500-510
-
-
Imhof, J.-P.1
-
13
-
-
0009288582
-
Operational derivation of some Brownian motion results
-
IMHOF, J.-P. AND KÜMMERLING, P. (1986). Operational derivation of some Brownian motion results. Internat. Statistical Rev. 54, 327-341.
-
(1986)
Internat. Statistical Rev.
, vol.54
, pp. 327-341
-
-
Imhof, J.-P.1
Kümmerling, P.2
-
15
-
-
0040778979
-
A decomposition of the Brownian path
-
KARATZAS, I. AND SHREVE, M. (1987). A decomposition of the Brownian path. Statist. Prob. Let. 5, 87-94.
-
(1987)
Statist. Prob. Let.
, vol.5
, pp. 87-94
-
-
Karatzas, I.1
Shreve, M.2
-
16
-
-
0009234368
-
Local time is a semi-martingale
-
PERKINS, E. (1982). Local time is a semi-martingale. Z. Wahrscheinlichtkeitsth. 60, 79-117.
-
(1982)
Z. Wahrscheinlichtkeitsth.
, vol.60
, pp. 79-117
-
-
Perkins, E.1
-
18
-
-
0040656026
-
On a generalisation of the Arc-sine law
-
TAKÁCS, L. (1995). On a generalisation of the Arc-sine law. Ann. Appl. Prob. 6, 1035-1040.
-
(1995)
Ann. Appl. Prob.
, vol.6
, pp. 1035-1040
-
-
Takács, L.1
-
19
-
-
21844522714
-
The distribution of Brownian quantiles
-
YOR, M. (1995). The distribution of Brownian quantiles. J. Appl. Prob. 32, 405-416.
-
(1995)
J. Appl. Prob.
, vol.32
, pp. 405-416
-
-
Yor, M.1
|