Lempa, Jukka; Mordecki, Ernesto; Salminen, Paavo Diffusion spiders: Green kernel, excessive functions and optimal stopping. (English) Zbl 07785661 Stochastic Processes Appl. 167, Article ID 104229, 34 p. (2024). Reviewer: Manuel D. Domínguez de la Iglesia (Ciudad de México) MSC: 60J60 60J35 60J65 60G40 PDFBibTeX XMLCite \textit{J. Lempa} et al., Stochastic Processes Appl. 167, Article ID 104229, 34 p. (2024; Zbl 07785661) Full Text: DOI arXiv
Randon-Furling, Julien; Salminen, Paavo; Vallois, Pierre On a first hit distribution of the running maximum of Brownian motion. (English) Zbl 1491.60145 Stochastic Processes Appl. 150, 1204-1221 (2022). MSC: 60J65 60G17 60G40 60G51 60G52 PDFBibTeX XMLCite \textit{J. Randon-Furling} et al., Stochastic Processes Appl. 150, 1204--1221 (2022; Zbl 1491.60145) Full Text: DOI arXiv
Salminen, Paavo; Stenlund, David On occupation times of one-dimensional diffusions. (English) Zbl 1483.60115 J. Theor. Probab. 34, No. 2, 975-1011 (2021). MSC: 60J60 60J55 05A10 60J65 PDFBibTeX XMLCite \textit{P. Salminen} and \textit{D. Stenlund}, J. Theor. Probab. 34, No. 2, 975--1011 (2021; Zbl 1483.60115) Full Text: DOI arXiv
Salminen, Paavo; Vallois, Pierre On the maximum increase and decrease of one-dimensional diffusions. (English) Zbl 1450.60042 Stochastic Processes Appl. 130, No. 9, 5592-5604 (2020). MSC: 60J60 60J65 60G17 62P05 PDFBibTeX XMLCite \textit{P. Salminen} and \textit{P. Vallois}, Stochastic Processes Appl. 130, No. 9, 5592--5604 (2020; Zbl 1450.60042) Full Text: DOI
Geiss, Christel; Luoto, Antti; Salminen, Paavo On first exit times and their means for Brownian bridges. (English) Zbl 1436.60075 J. Appl. Probab. 56, No. 3, 701-722 (2019). MSC: 60J65 60J60 91G60 PDFBibTeX XMLCite \textit{C. Geiss} et al., J. Appl. Probab. 56, No. 3, 701--722 (2019; Zbl 1436.60075) Full Text: DOI arXiv
Mordecki, Ernesto; Salminen, Paavo Optimal stopping of oscillating Brownian motion. (English) Zbl 1422.60134 Electron. Commun. Probab. 24, Paper No. 50, 12 p. (2019). MSC: 60J60 60J65 62L15 PDFBibTeX XMLCite \textit{E. Mordecki} and \textit{P. Salminen}, Electron. Commun. Probab. 24, Paper No. 50, 12 p. (2019; Zbl 1422.60134) Full Text: DOI arXiv Euclid
Borodin, Andrei; Salminen, Paavo On the local time process of a skew Brownian motion. (English) Zbl 1481.60160 Trans. Am. Math. Soc. 372, No. 5, 3597-3618 (2019). MSC: 60J65 60J60 60J55 PDFBibTeX XMLCite \textit{A. Borodin} and \textit{P. Salminen}, Trans. Am. Math. Soc. 372, No. 5, 3597--3618 (2019; Zbl 1481.60160) Full Text: DOI arXiv
Salminen, Paavo; Vostrikova, Lioudmila On moments of integral exponential functionals of additive processes. (English) Zbl 1407.60115 Stat. Probab. Lett. 146, 139-146 (2019). MSC: 60J75 60J60 60E10 PDFBibTeX XMLCite \textit{P. Salminen} and \textit{L. Vostrikova}, Stat. Probab. Lett. 146, 139--146 (2019; Zbl 1407.60115) Full Text: DOI arXiv
Christensen, Sören; Salminen, Paavo Multidimensional investment problem. (English) Zbl 1404.91255 Math. Financ. Econ. 12, No. 1, 75-95 (2018). MSC: 91G20 60G40 60J70 60G51 PDFBibTeX XMLCite \textit{S. Christensen} and \textit{P. Salminen}, Math. Financ. Econ. 12, No. 1, 75--95 (2018; Zbl 1404.91255) Full Text: DOI
Mordecki, Ernesto; Salminen, Paavo Optimal stopping of Brownian motion with broken drift. arXiv:1811.05738 Preprint, arXiv:1811.05738 [math.PR] (2018). MSC: 60J60 60J65 62L15 BibTeX Cite \textit{E. Mordecki} and \textit{P. Salminen}, ``Optimal stopping of Brownian motion with broken drift'', Preprint, arXiv:1811.05738 [math.PR] (2018) Full Text: arXiv OA License
Alvarez E., Luis H. R.; Salminen, Paavo Timing in the presence of directional predictability: optimal stopping of skew Brownian motion. (English) Zbl 1386.60279 Math. Methods Oper. Res. 86, No. 2, 377-400 (2017). MSC: 60J65 60G40 62L15 PDFBibTeX XMLCite \textit{L. H. R. Alvarez E.} and \textit{P. Salminen}, Math. Methods Oper. Res. 86, No. 2, 377--400 (2017; Zbl 1386.60279) Full Text: DOI arXiv
Salminen, Paavo; Ta, Bao Quoc Differentiability of excessive functions of one-dimensional diffusions and the principle of smooth fit. (English) Zbl 1314.60144 Palczewski, Andrzej (ed.) et al., Advances in mathematics of finance. Selected papers of the 6th general AMaMeF and Banach Center Conference, Warsaw, Poland, June 10–15, 2013. Warszawa: Polish Academy of Sciences, Institute of Mathematics (ISBN 978-83-86806-27-0). Banach Center Publications 104, 181-199 (2015). MSC: 60J60 60G40 60J65 62L15 31C05 PDFBibTeX XMLCite \textit{P. Salminen} and \textit{B. Q. Ta}, Banach Cent. Publ. 104, 181--199 (2015; Zbl 1314.60144) Full Text: DOI arXiv
Kaarakka, Terhi; Salminen, Paavo On fractional Ornstein-Uhlenbeck processes. (English) Zbl 1331.60065 Commun. Stoch. Anal. 5, No. 1, 121-133 (2011). MSC: 60G22 60G18 60H05 PDFBibTeX XMLCite \textit{T. Kaarakka} and \textit{P. Salminen}, Commun. Stoch. Anal. 5, No. 1, 121--133 (2011; Zbl 1331.60065) Full Text: arXiv
Salminen, Paavo; Yor, Marc On hitting times of affine boundaries by reflecting Brownian motion and Bessel processes. (English) Zbl 1274.60251 Period. Math. Hung. 62, No. 1, 75-101 (2011). MSC: 60J65 60J60 PDFBibTeX XMLCite \textit{P. Salminen} and \textit{M. Yor}, Period. Math. Hung. 62, No. 1, 75--101 (2011; Zbl 1274.60251) Full Text: DOI arXiv
Salminen, Paavo H.; Vallois, Pierre On subexponentiality of the Lévy measure of the inverse local time; with applications to penalizations. (English) Zbl 1192.60089 Electron. J. Probab. 14, 1963-1991 (2009). MSC: 60J60 60J65 PDFBibTeX XMLCite \textit{P. H. Salminen} and \textit{P. Vallois}, Electron. J. Probab. 14, 1963--1991 (2009; Zbl 1192.60089) Full Text: DOI arXiv EuDML EMIS
Salminen, Paavo; Vallois, Pierre On maximum increase and decrease of Brownian motion. (English) Zbl 1173.60338 Ann. Inst. Henri Poincaré, Probab. Stat. 43, No. 6, 655-676 (2007). MSC: 60J65 60J60 60G17 62P05 PDFBibTeX XMLCite \textit{P. Salminen} and \textit{P. Vallois}, Ann. Inst. Henri Poincaré, Probab. Stat. 43, No. 6, 655--676 (2007; Zbl 1173.60338) Full Text: DOI arXiv Numdam EuDML
Salminen, Paavo; Vallois, Pierre; Yor, Marc On the excursion theory for linear diffusions. (English) Zbl 1160.60024 Jpn. J. Math. (3) 2, No. 1, 97-127 (2007). Reviewer: Feng-Yu Wang (Swansea) MSC: 60J60 60J65 PDFBibTeX XMLCite \textit{P. Salminen} et al., Jpn. J. Math. (3) 2, No. 1, 97--127 (2007; Zbl 1160.60024) Full Text: DOI arXiv
Salminen, Paavo; Wallin, Olli Perpetual integral functionals of diffusions and their numerical computations. (English) Zbl 1137.60044 Benth, Fred Espen (ed.) et al., Stochastic analysis and applications. The Abel symposium 2005. Proceedings of the second Abel symposium, Oslo, Norway, July 29 – August 4, 2005, held in honor of Kiyosi Itô. Berlin: Springer (ISBN 978-3-540-70846-9/hbk). Abel Symposia 2, 569-594 (2007). Reviewer: Victoria Knopova (Dresden) MSC: 60J65 60J60 60J70 PDFBibTeX XMLCite \textit{P. Salminen} and \textit{O. Wallin}, Abel Symp. 2, 569--594 (2007; Zbl 1137.60044) Full Text: arXiv
Salminen, Paavo; Yor, Marc Tanaka formula for symmetric Lévy processes. (English) Zbl 1129.60043 Donati-Martin, Catherine (ed.) et al., Séminaire de Probabilités XL. Berlin: Springer (ISBN 978-3-540-71188-9/pbk). Lecture Notes in Mathematics 1899, 265-285 (2007). Reviewer: Victoria Knopova (Dresden) MSC: 60G51 60G52 60J65 60J60 60J70 PDFBibTeX XMLCite \textit{P. Salminen} and \textit{M. Yor}, Lect. Notes Math. 1899, 265--285 (2007; Zbl 1129.60043) Full Text: DOI arXiv
Mordecki, Ernesto; Salminen, Paavo Optimal stopping of Hunt and Lévy processes. (English) Zbl 1114.60034 Stochastics 79, No. 3-4, 233-251 (2007). Reviewer: Pavel Gapeev (Berlin) MSC: 60G40 60J25 60J60 60J65 60J75 PDFBibTeX XMLCite \textit{E. Mordecki} and \textit{P. Salminen}, Stochastics 79, No. 3--4, 233--251 (2007; Zbl 1114.60034) Full Text: DOI arXiv
Khoshnevisan, Davar; Salminen, Paavo; Yor, Marc A note on a.s. finiteness of perpetual integral functionals of diffusions. (English) Zbl 1111.60061 Electron. Commun. Probab. 11, 108-117 (2006). MSC: 60J60 60J65 PDFBibTeX XMLCite \textit{D. Khoshnevisan} et al., Electron. Commun. Probab. 11, 108--117 (2006; Zbl 1111.60061) Full Text: DOI EuDML
Salminen, Paavo; Yor, Marc Perpetual integral functionals as hitting and occupation times. (English) Zbl 1110.60078 Electron. J. Probab. 10, Paper No. 11, 371-419 (2005). MSC: 60J65 60J60 60J70 PDFBibTeX XMLCite \textit{P. Salminen} and \textit{M. Yor}, Electron. J. Probab. 10, Paper No. 11, 371--419 (2005; Zbl 1110.60078) Full Text: DOI arXiv EuDML
Salminen, Paavo; Vallois, Pierre On first range times of linear diffusions. (English) Zbl 1085.60057 J. Theor. Probab. 18, No. 3, 567-593 (2005). Reviewer: René L. Schilling (Marburg) MSC: 60J60 60J65 60J45 60G40 PDFBibTeX XMLCite \textit{P. Salminen} and \textit{P. Vallois}, J. Theor. Probab. 18, No. 3, 567--593 (2005; Zbl 1085.60057) Full Text: DOI HAL
Kozlova, Marina; Salminen, Paavo An occupation time identity for reflecting Brownian motion with drift. (English) Zbl 1082.60072 Period. Math. Hung. 50, No. 1-2, 189-198 (2005). MSC: 60J65 60J60 60G10 PDFBibTeX XMLCite \textit{M. Kozlova} and \textit{P. Salminen}, Period. Math. Hung. 50, No. 1--2, 189--198 (2005; Zbl 1082.60072) Full Text: DOI
Salminen, Paavo; Yor, Marc Properties of perpetual integral functionals of Brownian motion with drift. (English) Zbl 1082.60073 Ann. Inst. Henri Poincaré, Probab. Stat. 41, No. 3, 335-347 (2005). Reviewer: Catherine Rainer (Brest) MSC: 60J65 PDFBibTeX XMLCite \textit{P. Salminen} and \textit{M. Yor}, Ann. Inst. Henri Poincaré, Probab. Stat. 41, No. 3, 335--347 (2005; Zbl 1082.60073) Full Text: DOI Numdam Numdam EuDML
Salminen, Paavo; Yor, Marc A note on a.s. finiteness of perpetual integral functionals of diffusions. arXiv:math/0511336 Preprint, arXiv:math/0511336 [math.PR] (2005). MSC: 60J65 60J60 BibTeX Cite \textit{P. Salminen} and \textit{M. Yor}, ``A note on a.s. finiteness of perpetual integral functionals of diffusions'', Preprint, arXiv:math/0511336 [math.PR] (2005) Full Text: arXiv
Salminen, Paavo; Yor, Marc On Dufresne’s perpetuity, translated and reflected. (English) Zbl 1323.60113 Akahori, Jiro (ed.) et al., Stochastic processes and applications to mathematical finance. Proceedings of the Ritsumeikan international symposium, Kusatsu, Shiga, Japan, March 5–9, 2003. River Edge, NJ: World Scientific (ISBN 981-238-778-1/hbk). 337-354 (2004). MSC: 60J65 60J60 60J55 91B30 PDFBibTeX XMLCite \textit{P. Salminen} and \textit{M. Yor}, in: Stochastic processes and applications to mathematical finance. Proceedings of the Ritsumeikan international symposium, Kusatsu, Shiga, Japan, March 5--9, 2003. River Edge, NJ: World Scientific. 337--354 (2004; Zbl 1323.60113) Full Text: DOI
Borodin, A. N.; Salminen, P. On some exponential integral functionals of \(\text{BM}(\mu)\) and \(\text{BES}(3)\). (English) Zbl 1074.60088 Zap. Nauchn. Semin. POMI 311, 51-78, 298-299 (2004); translation in J. Math. Sci., New York 133, No. 3, 1231-1248 (2006). MSC: 60J65 60J60 PDFBibTeX XMLCite \textit{A. N. Borodin} and \textit{P. Salminen}, Zap. Nauchn. Semin. POMI 311, 51--78, 298--299 (2004; Zbl 1074.60088); translation in J. Math. Sci., New York 133, No. 3, 1231--1248 (2006) Full Text: arXiv
Kozlova, M.; Salminen, P. Diffusion local time storage. (English) Zbl 1070.60081 Stochastic Processes Appl. 114, No. 2, 211-229 (2004). MSC: 60K25 60J55 PDFBibTeX XMLCite \textit{M. Kozlova} and \textit{P. Salminen}, Stochastic Processes Appl. 114, No. 2, 211--229 (2004; Zbl 1070.60081) Full Text: DOI arXiv
Borodin, A. N.; Salminen, Paavo Handbook of Brownian motion: Facts and formulae. 2nd ed. (English) Zbl 1012.60003 Probability and Its Applications. Basel: Birkhäuser. xvi, 672 p. (2002). Reviewer: Evelyn Buckwar (Berlin) MSC: 60-02 60Jxx 60J65 60Gxx PDFBibTeX XMLCite \textit{A. N. Borodin} and \textit{P. Salminen}, Handbook of Brownian motion: Facts and formulae. 2nd ed. Basel: Birkhäuser (2002; Zbl 1012.60003)
Salminen, Paavo; Norros, Ilkka On busy periods of the unbounded Brownian storage. (English) Zbl 1014.60086 Queueing Syst. 39, No. 4, 317-333 (2001). Reviewer: Eugene A.Feinberg (Stony Brook) MSC: 60K25 90B22 90B05 PDFBibTeX XMLCite \textit{P. Salminen} and \textit{I. Norros}, Queueing Syst. 39, No. 4, 317--333 (2001; Zbl 1014.60086) Full Text: DOI
Salminen, Paavo On Russian options. (English) Zbl 0974.60070 Theory Stoch. Process. 6(22), No. 3-4, 161-176 (2000). Reviewer: Mikhail Moklyachuk (Kyïv) MSC: 60J65 60G40 91G30 91G10 91G80 PDFBibTeX XMLCite \textit{P. Salminen}, Theory Stoch. Process. 6(22), No. 3--4, 161--176 (2000; Zbl 0974.60070)
Salminen, Paavo Optimal stopping and American put options. (English) Zbl 0949.60058 Theory Stoch. Process. 5(21), No. 1-2, 129-144 (1999). Reviewer: A.D.Borisenko (Kyïv) MSC: 60G40 91B28 PDFBibTeX XMLCite \textit{P. Salminen}, Theory Stoch. Process. 5(21), No. 1--2, 129--144 (1999; Zbl 0949.60058)
Borodin, A. N.; Salminen, Paavo Handbook of Brownian motion - facts and formulae. (English) Zbl 0859.60001 Probability and Its Applications. Basel: Birkhäuser. xiv, 462 p. (1996). Reviewer: M.Scheutzow (Berlin) MSC: 60-02 60Jxx 60J65 60Gxx PDFBibTeX XMLCite \textit{A. N. Borodin} and \textit{P. Salminen}, Handbook of Brownian motion - facts and formulae. Basel: Birkhäuser (1996; Zbl 0859.60001)
Csáki, E.; Salminen, P. On additive functionals of diffusion processes. (English) Zbl 0851.60076 Stud. Sci. Math. Hung. 31, No. 1-3, 47-62 (1996). Reviewer: Ph.Biane (Paris) MSC: 60J55 60J60 60F17 PDFBibTeX XMLCite \textit{E. Csáki} and \textit{P. Salminen}, Stud. Sci. Math. Hung. 31, No. 1--3, 47--62 (1996; Zbl 0851.60076)
Kaj, I.; Salminen, P. On the ultimate value of local time of one-dimensional super-Brownian motion. (English) Zbl 0836.60092 Stochastic Processes Appl. 59, No. 1, 21-42 (1995). MSC: 60J80 60J55 PDFBibTeX XMLCite \textit{I. Kaj} and \textit{P. Salminen}, Stochastic Processes Appl. 59, No. 1, 21--42 (1995; Zbl 0836.60092) Full Text: DOI
Kaj, I.; Salminen, P. A note on first passages in branching Brownian motions. (English) Zbl 0811.60065 Niemi, H. (ed.) et al., Proceedings of the Third Finnish-Soviet symposium on probability theory and mathematical statistics. Turku, Finland, August 13-16, 1991. Utrecht: VSP. Front. Pure Appl. Probab. 1, 95-102 (1993). MSC: 60J65 60J80 PDFBibTeX XMLCite \textit{I. Kaj} and \textit{P. Salminen}, Front. Pure Appl. Probab. 1, 95--102 (1993; Zbl 0811.60065)
Borodin, A. N.; Salminen, P. H. On functionals of branching Brownian motion. (English) Zbl 0820.60064 Niemi, H. (ed.) et al., Proceedings of the Third Finnish-Soviet symposium on probability theory and mathematical statistics. Turku, Finland, August 13-16, 1991. Utrecht: VSP. Front. Pure Appl. Probab. 1, 7-21 (1993). Reviewer: F.Flandoli (Pisa) MSC: 60J65 60J55 60J80 PDFBibTeX XMLCite \textit{A. N. Borodin} and \textit{P. H. Salminen}, Front. Pure Appl. Probab. 1, 7--21 (1993; Zbl 0820.60064)
Kaj, Ingemar; Salminen, Paavo On a first passage problem for branching Brownian motions. (English) Zbl 0771.60058 Ann. Appl. Probab. 3, No. 1, 173-185 (1993). MSC: 60J65 60J80 PDFBibTeX XMLCite \textit{I. Kaj} and \textit{P. Salminen}, Ann. Appl. Probab. 3, No. 1, 173--185 (1993; Zbl 0771.60058) Full Text: DOI
Salminen, Paavo A ratio limit theorem for erased branching Brownian motion. (English) Zbl 0758.60084 Stochastic Processes Appl. 41, No. 2, 215-222 (1992). Reviewer: B.Grigelionis (Vilnius) MSC: 60J65 60J60 60J80 PDFBibTeX XMLCite \textit{P. Salminen}, Stochastic Processes Appl. 41, No. 2, 215--222 (1992; Zbl 0758.60084) Full Text: DOI
Salminen, Paavo On multiplicative excessive functions of a branching Brownian motion. (English) Zbl 0668.60074 Probab. Theory Relat. Fields 85, No. 1, 43-56 (1990). Reviewer: P.Salminen MSC: 60J80 60J65 60J60 PDFBibTeX XMLCite \textit{P. Salminen}, Probab. Theory Relat. Fields 85, No. 1, 43--56 (1990; Zbl 0668.60074) Full Text: DOI
Salminen, Paavo On the first hitting time and the last exit time for a Brownian motion to/from a moving boundary. (English) Zbl 0647.60087 Adv. Appl. Probab. 20, No. 2, 411-426 (1988). Reviewer: Qian Minping MSC: 60J65 58J65 PDFBibTeX XMLCite \textit{P. Salminen}, Adv. Appl. Probab. 20, No. 2, 411--426 (1988; Zbl 0647.60087) Full Text: DOI
Salminen, Paavo On the joint distribution of the Brownian local and occupation times. (English) Zbl 0638.60082 Stochastic differential systems, Proc. IFIP-WG 7/1 Work. Conf., Eisenach/GDR 1986, Lect. Notes Control Inf. Sci. 96, 213-217 (1987). Reviewer: Lou Jiann Hua MSC: 60J65 60J55 60G17 PDFBibTeX XML
Salminen, P. Brownian excursions revisited. (English) Zbl 0557.60067 Stochastic processes, Semin. Gainesville/Fla. 1983, Prog. Probab. Stat. 7, 161-187 (1984). Reviewer: S.Takenaka MSC: 60J65 60J60 60G15 60G17 PDFBibTeX XML
Salminen, P. On conditional Ornstein-Uhlenbeck processes. (English) Zbl 0551.60079 Adv. Appl. Probab. 16, 920-922 (1984). Reviewer: W.Yang MSC: 60J60 60J35 60J65 PDFBibTeX XMLCite \textit{P. Salminen}, Adv. Appl. Probab. 16, 920--922 (1984; Zbl 0551.60079) Full Text: DOI
Salminen, P. Mixing Markovian laws; with an application to path decompositions. (English) Zbl 0511.60069 Stochastics 9, 23-231 (1983). MSC: 60J25 60J60 60J65 PDFBibTeX XMLCite \textit{P. Salminen}, Stochastics 9, 23--231 (1983; Zbl 0511.60069) Full Text: DOI
Salminen, Paavo The 3-dimensional Bessel process and Brownian motion. (English) Zbl 0434.60082 Acta Acad. Abo., Ser. B 40, No. 7, 8 P. (1980). MSC: 60J65 60J60 PDFBibTeX XML