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Found 47 Documents (Results 1–47)

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).
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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).
MSC:  60J65 60J60 60J70
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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
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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
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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
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