Excursions in Brownian motion
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This article is published in Arkiv för Matematik.The article was published on 1976-12-01 and is currently open access. It has received 222 citations till now. The article focuses on the topics: Brownian motion.read more
Citations
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Precise logarithmic asymptotics for the right tails of some limit random variables for random trees
James Allen Fill,Svante Janson +1 more
TL;DR: In this paper, the authors obtained precise asymptotics for the logarithm of the right-hand tail of a random finite tree for certain random variables that arise as limits of functionals of random finite trees.
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Conditioned limit theorems for waiting-time processes of the M/G/1 queue
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Double-sided Parisian option pricing
TL;DR: The paper gives an overview of the different types of contracts that can be derived from the double-sided Parisian knock-in calls, and, after discussing the Fourier inversion, it concludes with various numerical examples, explaining the, sometimes peculiar, behavior of the Parisian option.
Posted Content
On hitting times of affine boundaries by reflecting Brownian motion and Bessel processes
Paavo Salminen,Marc Yor +1 more
TL;DR: Doob’s formula is used which gives the probability that Brownian motion started inside a wedge does not hit this wedge and this methodology can be applied for the three-dimensional Bessel process.
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On hitting times of affine boundaries by reflecting Brownian motion and Bessel processes
Paavo Salminen,Marc Yor +1 more
TL;DR: In this article, Doob's formula is used to compute the distribution function for the hitting time of a linear time-dependent boundary t ↦ a + bt, a ≥ 0, b ∈ ℝ, by a reflecting Brownian motion.
References
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Book
Diffusion Processes and their Sample Paths
Kiyosi Itô,Henry P. McKean +1 more
TL;DR: In this article, the authors consider the problem of approximating the Brownian motion by a random walk with respect to the de Moivre-laplace limit theorem and show that it is NP-hard.
Journal Article
Sur certains processus stochastiques homogènes
TL;DR: In this paper, the authors implique l'accord avec les conditions générales d'utilisation (http://www.compositio.org/legal.php).
BookDOI
Aufgaben und Lehrsätze aus der Analysis: Erster Band: Reihen · Integralrechnung Funktionentheorie
Book
Brownian motion and diffusion
TL;DR: The book as discussed by the authors is part of a trilogy covering the field of Markov processes and provides a readable and constructive treatment of Brownian motion and diffusion, which dispenses with most of the customary transform apparatus.
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Functional Central Limit Theorems for Random Walks Conditioned to Stay Positive
TL;DR: In this article, it was shown that the conditional and unconditional weak limit for a sequence of independent, identically distributed random variables is the same as that of the standard Brownian motion.