Journal ArticleDOI
A decomposition of Bessel Bridges
Jim Pitman,Marc Yor +1 more
About:
This article is published in Probability Theory and Related Fields.The article was published on 1982-12-01. It has received 469 citations till now. The article focuses on the topics: Bessel function & Decomposition (computer science).read more
Citations
More filters
Journal ArticleDOI
Convergence of Probability Measures
TL;DR: Convergence of Probability Measures as mentioned in this paper is a well-known convergence of probability measures. But it does not consider the relationship between probability measures and the probability distribution of probabilities.
BookDOI
Combinatorial Stochastic Processes
TL;DR: In this paper, the Brownian forest and the additive coalescent were constructed for random walks and random forests, respectively, and the Bessel process was used for random mappings.
Journal ArticleDOI
Stochastic Volatility for Lévy Processes
TL;DR: In this article, a mean-corrected exponential model is used to obtain a martingale in the filtration in which it was originally defined, and the important property of martingales in altered filtrations consistent with the one-dimensional marginal distributions of the level of the process at each future date.
Journal ArticleDOI
Bessel Processes, Asian Options, and Perpetuities
Hélyette Geman,Marc Yor +1 more
TL;DR: In this article, the Laplace transform of an Asian option which is out of the money is used to compute the moments of all orders of an arithmetic average of geometric Brownian motion, and a simple closed-form expression of the Asian option price when the option is "in the money".
Journal ArticleDOI
Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
Mark Broadie,zgr Kaya +1 more
TL;DR: This paper suggests a method for the exact simulation of the stock price and variance under Hestons stochastic volatility model and other affine jump diffusion processes and achieves an O(s-1/2) convergence rate, where s is the total computational budget.
References
More filters
Journal ArticleDOI
An Introduction to Probability Theory and Its Applications
David A. Freedman,William Feller +1 more
Book
Convergence of Probability Measures
TL;DR: Weak Convergence in Metric Spaces as discussed by the authors is one of the most common modes of convergence in metric spaces, and it can be seen as a form of weak convergence in metric space.
Journal ArticleDOI
An Introduction to Probability Theory and Its Applications.
Book
A treatise on the theory of Bessel functions
TL;DR: The tabulation of Bessel functions can be found in this paper, where the authors present a comprehensive survey of the Bessel coefficients before and after 1826, as well as their extensions.