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Author ID: patie.pierre Recent zbMATH articles by "Patie, Pierre"
Published as: Patie, Pierre; Patie, P.
all top 5

Serials

3 The Annals of Probability
3 Comptes Rendus. Mathématique. Académie des Sciences, Paris
2 Transactions of the American Mathematical Society
2 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
2 Electronic Journal of Probability
2 Methodology and Computing in Applied Probability
1 Analysis Mathematica
1 Journal of Mathematical Analysis and Applications
1 Journal of Statistical Physics
1 Studia Mathematica
1 Journal of Applied Probability
1 Journal of Computational and Applied Mathematics
1 Journal of Differential Equations
1 Journal of Functional Analysis
1 Journal of the London Mathematical Society. Second Series
1 Mathematische Nachrichten
1 Memoirs of the American Mathematical Society
1 Proceedings of the American Mathematical Society
1 Proceedings of the London Mathematical Society. Third Series
1 Statistics & Probability Letters
1 Journal of Theoretical Probability
1 European Journal of Applied Mathematics
1 The Annals of Applied Probability
1 SIAM Journal on Applied Mathematics
1 Stochastic Processes and their Applications
1 Potential Analysis
1 Computational Optimization and Applications
1 Combinatorics, Probability and Computing
1 Bulletin des Sciences Mathématiques
1 Electronic Communications in Probability
1 Bernoulli
1 Mathematical Finance
1 Fractional Calculus & Applied Analysis
1 Stochastic Models
1 ALEA. Latin American Journal of Probability and Mathematical Statistics
1 Kinetic and Related Models
1 SIAM Journal on Financial Mathematics
1 Journal of Spectral Theory
1 Journal de l’École Polytechnique – Mathématiques
1 Annales Henri Lebesgue

Publications by Year

Citations contained in zbMATH Open

47 Publications have been cited 523 times in 313 Documents Cited by Year
Representations of the first hitting time density of an Ornstein-Uhlenbeck process. Zbl 1083.60064
Alili, L.; Patie, P.; Pedersen, J. L.
91
2005
Bernstein-gamma functions and exponential functionals of Lévy processes. Zbl 1396.30001
Patie, Pierre; Savov, Mladen
39
2018
Risk management for derivatives in illiquid markets: A simulation study. Zbl 1002.91031
Frey, Rüdiger; Patie, Pierre
28
2002
Infinite divisibility of solutions to some self-similar integro-differential equations and exponential functionals of Lévy processes. Zbl 1180.31010
Patie, Pierre
26
2009
Exponential functional of a new family of Lévy processes and self-similar continuous state branching processes with immigration. Zbl 1171.60009
Patie, Pierre
24
2009
Cauchy problem of the non-self-adjoint Gauss-Laguerre semigroups and uniform bounds for generalized Laguerre polynomials. Zbl 1460.34073
Patie, Pierre; Savov, Mladen
23
2017
Law of the absorption time of some positive self-similar Markov processes. Zbl 1241.60020
Patie, Pierre
20
2012
Intertwining certain fractional derivatives. Zbl 1259.60040
Patie, Pierre; Simon, Thomas
19
2012
On a martingale associated to generalized Ornstein-Uhlenbeck processes and an application to finance. Zbl 1075.60040
Patie, Pierre
16
2005
A Wiener-Hopf type factorization for the exponential functional of Lévy processes. Zbl 1272.60027
Pardo, J. C.; Patie, P.; Savov, M.
15
2012
Extended factorizations of exponential functionals of Lévy processes. Zbl 1253.60063
Patie, Pierre; Savov, Mladen
14
2012
A refined factorization of the exponential law. Zbl 1253.60020
Patie, P.
12
2011
\(q\)-invariant functions for some generalizations of the Ornstein-Uhlenbeck semigroup. Zbl 1168.60011
Patie, P.
11
2008
Spectral decomposition of fractional operators and a reflected stable semigroup. Zbl 1368.47032
Patie, P.; Zhao, Y.
11
2017
On a gateway between continuous and discrete Bessel and Laguerre processes. (Sur une passerelle entre les versions discrètes et continues des processus de Bessel et de Laguerre.) Zbl 1465.60073
Miclo, Laurent; Patie, Pierre
11
2019
Boundary-crossing identities for diffusions having the time-inversion property. Zbl 1197.60080
Alili, L.; Patie, P.
10
2010
Skip-free Markov chains. Zbl 1481.60137
Choi, Michael C. H.; Patie, Pierre
10
2019
Exponential functional of Lévy processes: generalized Weierstrass products and Wiener-Hopf factorization. Zbl 1273.60057
Patie, Pierre; Savov, Mladen
10
2013
Optimal stopping problems for some Markov processes. Zbl 1246.60065
Cissé, Mamadou; Patie, Pierre; Tanré, Etienne
9
2012
First exit time probability for multidimensional diffusions: A PDE-based approach. Zbl 1154.91469
Patie, P.; Winter, C.
9
2008
Spectral expansions of non-self-adjoint generalized Laguerre semigroups. Zbl 1505.47042
Patie, Pierre; Savov, Mladen
9
2021
Strategic long-term financial risks: single risk factors. Zbl 1085.90024
Embrechts, Paul; Kaufmann, Roger; Patie, Pierre
8
2005
Intertwining, excursion theory and Krein theory of strings for non-self-adjoint Markov semigroups. Zbl 1451.60088
Patie, Pierre; Savov, Mladen; Zhao, Yixuan
8
2019
A Ciesielski-Taylor type identity for positive self-similar Markov processes. Zbl 1231.60031
Kyprianou, A. E.; Patie, P.
7
2011
A few remarks on the supremum of stable processes. Zbl 1162.60325
Patie, P.
7
2009
On the first crossing times of a Brownian motion and a family of continuous curves. Zbl 1058.60061
Alili, Larbi; Patie, Pierre
7
2005
Smoothness of continuous state branching with immigration semigroups. Zbl 1493.47053
Chazal, M.; Loeffen, R.; Patie, P.
7
2018
Law of the exponential functional of one-sided Lévy processes and Asian options. Zbl 1162.60015
Patie, Pierre
6
2009
On interweaving relations. Zbl 1509.47069
Miclo, Laurent; Patie, Pierre
6
2021
Extinction time of non-Markovian self-similar processes, persistence, annihilation of jumps and the Fréchet distribution. Zbl 1488.60090
Loeffen, R.; Patie, P.; Savov, M.
6
2019
A spectral theoretical approach for hypocoercivity applied to some degenerate hypoelliptic, and non-local operators. Zbl 1447.58032
Patie, Pierre; Vaidyanathan, Aditya
5
2020
Two-sided exit problem for a spectrally negative \(\alpha \)-stable Ornstein-Uhlenbeck process and the Wright’s generalized hypergeometric functions. Zbl 1128.60031
Patie, Pierre
4
2007
Boundary crossing identities for Brownian motion and some nonlinear ODE’s. Zbl 1329.60287
Alili, L.; Patie, P.
4
2014
Option pricing in a one-dimensional affine term structure model via spectral representations. Zbl 1411.91616
Chazal, M.; Loeffen, R.; Patie, P.
4
2018
The log-Lévy moment problem via Berg-Urbanik semigroups. Zbl 1454.44005
Patie, Pierre; Vaidyanathan, Aditya
4
2020
Self-similar Cauchy problems and generalized Mittag-Leffler functions. Zbl 1498.26015
Patie, Pierre; Srapionyan, Anna
4
2021
On non-local ergodic Jacobi semigroups: spectral theory, convergence-to-equilibrium and contractivity. (Sur les semi-groupes de Jacobi ergodiques et non locaux: théorie spectrale, convergence vers l’équilibre et contractivité.) Zbl 1462.37005
Cheridito, Patrick; Patie, Pierre; Srapionyan, Anna; Vaidyanathan, Aditya
4
2021
A sufficient condition for continuous-time finite skip-free Markov chains to have real eigenvalues. Zbl 1357.60080
Choi, Michael C. H.; Patie, Pierre
2
2016
Asian options under one-sided Lévy models. Zbl 1266.91109
Patie, P.
2
2013
Purely excessive functions and hitting times of continuous-time branching processes. Zbl 1427.60174
Avram, F.; Patie, P.; Wang, J.
2
2019
Analysis of non-reversible Markov chains via similarity orbits. Zbl 1469.60221
Choi, Michael C. H.; Patie, Pierre
2
2020
Turán inequalities and complete monotonicity for a class of entire functions. Zbl 1499.26070
Bartholmé, C.; Patie, P.
2
2021
Weak similarity orbit of (log)-self-similar Markov semigroups on the Euclidean space. Zbl 1523.60040
Patie, Pierre; Sarkar, Rohan
1
2023
Discrete self-similar and ergodic Markov chains. Zbl 1521.60042
Miclo, Laurent; Patie, Pierre; Sarkar, Rohan
1
2022
On intertwining relations between Ehrenfest, Yule and Ornstein-Uhlenbeck processes. Zbl 1498.60311
Miclo, Laurent; Patie, Pierre
1
2022
First passage times over stochastic boundaries for subdiffusive processes. Zbl 1490.60286
Constantinescu, C.; Loeffen, R.; Patie, P.
1
2022
Risk-neutral pricing techniques and examples. Zbl 1521.91360
Jarrow, Robert A.; Patie, Pierre; Srapionyan, Anna; Zhao, Yixuan
1
2021
Weak similarity orbit of (log)-self-similar Markov semigroups on the Euclidean space. Zbl 1523.60040
Patie, Pierre; Sarkar, Rohan
1
2023
Discrete self-similar and ergodic Markov chains. Zbl 1521.60042
Miclo, Laurent; Patie, Pierre; Sarkar, Rohan
1
2022
On intertwining relations between Ehrenfest, Yule and Ornstein-Uhlenbeck processes. Zbl 1498.60311
Miclo, Laurent; Patie, Pierre
1
2022
First passage times over stochastic boundaries for subdiffusive processes. Zbl 1490.60286
Constantinescu, C.; Loeffen, R.; Patie, P.
1
2022
Spectral expansions of non-self-adjoint generalized Laguerre semigroups. Zbl 1505.47042
Patie, Pierre; Savov, Mladen
9
2021
On interweaving relations. Zbl 1509.47069
Miclo, Laurent; Patie, Pierre
6
2021
Self-similar Cauchy problems and generalized Mittag-Leffler functions. Zbl 1498.26015
Patie, Pierre; Srapionyan, Anna
4
2021
On non-local ergodic Jacobi semigroups: spectral theory, convergence-to-equilibrium and contractivity. (Sur les semi-groupes de Jacobi ergodiques et non locaux: théorie spectrale, convergence vers l’équilibre et contractivité.) Zbl 1462.37005
Cheridito, Patrick; Patie, Pierre; Srapionyan, Anna; Vaidyanathan, Aditya
4
2021
Turán inequalities and complete monotonicity for a class of entire functions. Zbl 1499.26070
Bartholmé, C.; Patie, P.
2
2021
Risk-neutral pricing techniques and examples. Zbl 1521.91360
Jarrow, Robert A.; Patie, Pierre; Srapionyan, Anna; Zhao, Yixuan
1
2021
A spectral theoretical approach for hypocoercivity applied to some degenerate hypoelliptic, and non-local operators. Zbl 1447.58032
Patie, Pierre; Vaidyanathan, Aditya
5
2020
The log-Lévy moment problem via Berg-Urbanik semigroups. Zbl 1454.44005
Patie, Pierre; Vaidyanathan, Aditya
4
2020
Analysis of non-reversible Markov chains via similarity orbits. Zbl 1469.60221
Choi, Michael C. H.; Patie, Pierre
2
2020
On a gateway between continuous and discrete Bessel and Laguerre processes. (Sur une passerelle entre les versions discrètes et continues des processus de Bessel et de Laguerre.) Zbl 1465.60073
Miclo, Laurent; Patie, Pierre
11
2019
Skip-free Markov chains. Zbl 1481.60137
Choi, Michael C. H.; Patie, Pierre
10
2019
Intertwining, excursion theory and Krein theory of strings for non-self-adjoint Markov semigroups. Zbl 1451.60088
Patie, Pierre; Savov, Mladen; Zhao, Yixuan
8
2019
Extinction time of non-Markovian self-similar processes, persistence, annihilation of jumps and the Fréchet distribution. Zbl 1488.60090
Loeffen, R.; Patie, P.; Savov, M.
6
2019
Purely excessive functions and hitting times of continuous-time branching processes. Zbl 1427.60174
Avram, F.; Patie, P.; Wang, J.
2
2019
Bernstein-gamma functions and exponential functionals of Lévy processes. Zbl 1396.30001
Patie, Pierre; Savov, Mladen
39
2018
Smoothness of continuous state branching with immigration semigroups. Zbl 1493.47053
Chazal, M.; Loeffen, R.; Patie, P.
7
2018
Option pricing in a one-dimensional affine term structure model via spectral representations. Zbl 1411.91616
Chazal, M.; Loeffen, R.; Patie, P.
4
2018
Cauchy problem of the non-self-adjoint Gauss-Laguerre semigroups and uniform bounds for generalized Laguerre polynomials. Zbl 1460.34073
Patie, Pierre; Savov, Mladen
23
2017
Spectral decomposition of fractional operators and a reflected stable semigroup. Zbl 1368.47032
Patie, P.; Zhao, Y.
11
2017
A sufficient condition for continuous-time finite skip-free Markov chains to have real eigenvalues. Zbl 1357.60080
Choi, Michael C. H.; Patie, Pierre
2
2016
Boundary crossing identities for Brownian motion and some nonlinear ODE’s. Zbl 1329.60287
Alili, L.; Patie, P.
4
2014
Exponential functional of Lévy processes: generalized Weierstrass products and Wiener-Hopf factorization. Zbl 1273.60057
Patie, Pierre; Savov, Mladen
10
2013
Asian options under one-sided Lévy models. Zbl 1266.91109
Patie, P.
2
2013
Law of the absorption time of some positive self-similar Markov processes. Zbl 1241.60020
Patie, Pierre
20
2012
Intertwining certain fractional derivatives. Zbl 1259.60040
Patie, Pierre; Simon, Thomas
19
2012
A Wiener-Hopf type factorization for the exponential functional of Lévy processes. Zbl 1272.60027
Pardo, J. C.; Patie, P.; Savov, M.
15
2012
Extended factorizations of exponential functionals of Lévy processes. Zbl 1253.60063
Patie, Pierre; Savov, Mladen
14
2012
Optimal stopping problems for some Markov processes. Zbl 1246.60065
Cissé, Mamadou; Patie, Pierre; Tanré, Etienne
9
2012
A refined factorization of the exponential law. Zbl 1253.60020
Patie, P.
12
2011
A Ciesielski-Taylor type identity for positive self-similar Markov processes. Zbl 1231.60031
Kyprianou, A. E.; Patie, P.
7
2011
Boundary-crossing identities for diffusions having the time-inversion property. Zbl 1197.60080
Alili, L.; Patie, P.
10
2010
Infinite divisibility of solutions to some self-similar integro-differential equations and exponential functionals of Lévy processes. Zbl 1180.31010
Patie, Pierre
26
2009
Exponential functional of a new family of Lévy processes and self-similar continuous state branching processes with immigration. Zbl 1171.60009
Patie, Pierre
24
2009
A few remarks on the supremum of stable processes. Zbl 1162.60325
Patie, P.
7
2009
Law of the exponential functional of one-sided Lévy processes and Asian options. Zbl 1162.60015
Patie, Pierre
6
2009
\(q\)-invariant functions for some generalizations of the Ornstein-Uhlenbeck semigroup. Zbl 1168.60011
Patie, P.
11
2008
First exit time probability for multidimensional diffusions: A PDE-based approach. Zbl 1154.91469
Patie, P.; Winter, C.
9
2008
Two-sided exit problem for a spectrally negative \(\alpha \)-stable Ornstein-Uhlenbeck process and the Wright’s generalized hypergeometric functions. Zbl 1128.60031
Patie, Pierre
4
2007
Representations of the first hitting time density of an Ornstein-Uhlenbeck process. Zbl 1083.60064
Alili, L.; Patie, P.; Pedersen, J. L.
91
2005
On a martingale associated to generalized Ornstein-Uhlenbeck processes and an application to finance. Zbl 1075.60040
Patie, Pierre
16
2005
Strategic long-term financial risks: single risk factors. Zbl 1085.90024
Embrechts, Paul; Kaufmann, Roger; Patie, Pierre
8
2005
On the first crossing times of a Brownian motion and a family of continuous curves. Zbl 1058.60061
Alili, Larbi; Patie, Pierre
7
2005
Risk management for derivatives in illiquid markets: A simulation study. Zbl 1002.91031
Frey, Rüdiger; Patie, Pierre
28
2002
all top 5

Cited by 414 Authors

40 Patie, Pierre
9 Simon, Thomas
8 Kuznetsov, Alexey
8 Kyprianou, Andreas E.
8 Vidmar, Matija
7 Pardo, Juan Carlos
7 Savov, Mladen Svetoslavov
6 Alili, Larbi
6 Foucart, Clément
6 Miclo, Laurent
6 Rivero, Víctor Manuel
6 Sacerdote, Laura
6 Ševčovič, Daniel
6 Wang, Yongjin
5 Friesen, Martin
5 Jin, Peng
5 Zhou, Xiaowen
4 Bäumer, Boris
4 Kovács, Mihály
4 Loeffen, Ronnie L.
4 Meerschaert, Mark Marvin
4 Rüdiger, Barbara
4 Salminen, Paavo H.
4 Sankaranarayanan, Harish
4 Srapionyan, Anna
4 Vaidyanathan, Aditya
4 Vostrikova, Lioudmila
4 Yang, Xuewei
4 Zhao, Yixuan
3 Avram, Florin
3 Behme, Anita Diana
3 Bo, Lijun
3 Chazal, Marie
3 Choi, Michael C. H.
3 Company, Rafael
3 Coutin, Laure
3 Ditlevsen, Susanne
3 D’Onofrio, Giuseppe
3 Döring, Leif
3 Dorobantu, Diana
3 Hamster, C. H. S.
3 Hupkes, Hermen Jan
3 Jakubowski, Tomasz
3 Jódar Sanchez, Lucas Antonio
3 Leung, Tim
3 Pirozzi, Enrica
3 Toaldo, Bruno
3 Wang, Wansheng
3 Watson, Alexander R.
3 Yor, Marc
3 Zucca, Cristina
2 Bartholmé, Carine
2 Bertoin, Jean
2 Blanchet-Scalliet, Christophette
2 Borovkov, Konstantin A.
2 Çetin, Umut
2 Chaumont, Loïc
2 Chen, Yingzi
2 Comtet, Alain
2 do Rosário Grossinho, Maria
2 Dyshaev, Mikhaĭl Mikhaĭlovich
2 Egami, Masahiko
2 Ehrhardt, Matthias
2 Fëdorov, Vladimir Evgen’evich
2 Gay, Laura
2 Ged, François Gaston
2 Giraudo, Maria Teresa
2 Godec, Aljaž
2 Graczyk, Piotr
2 Hartich, David
2 He, Jingmin
2 Herrmann, Samuel
2 Kearney, Michael J.
2 Kwaśnicki, Mateusz
2 Lai, Choi-Hong
2 Li, Peisen
2 Li, Xin
2 Lindner, Alexander M.
2 Linetsky, Vadim
2 Lipton, Alexander
2 Ma, Chunhua
2 Magnasco, Marcelo O.
2 Martin, Richard J.
2 Novikov, Aleksandr Aleksandrovich
2 Pintos, José Ramón
2 Pontier, Monique
2 Reker, Jana
2 Renaud, Jean-François
2 Rouault, Alain
2 Sarkar, Rohan
2 Sirovich, Roberta
2 Song, Shiyu
2 Taillefumier, Thibaud
2 Tamborrino, Massimiliano
2 Tourigny, Yves
2 Uribe Bravo, Gerónimo
2 Wang, Zheng
2 Xing, Xiaoyu
2 Xu, Wei
2 Yamazaki, Kazutoshi
...and 314 more Authors
all top 5

Cited in 120 Serials

25 Stochastic Processes and their Applications
17 Journal of Applied Probability
11 Electronic Journal of Probability
8 Advances in Applied Probability
8 Journal of Statistical Physics
8 The Annals of Applied Probability
7 The Annals of Probability
7 Statistics & Probability Letters
7 Bernoulli
7 ALEA. Latin American Journal of Probability and Mathematical Statistics
6 Journal of Computational and Applied Mathematics
6 Journal of Theoretical Probability
6 Quantitative Finance
6 Stochastics
5 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
5 Stochastic Models
5 Journal of Physics A: Mathematical and Theoretical
4 Computers & Mathematics with Applications
4 Transactions of the American Mathematical Society
4 Stochastic Analysis and Applications
4 International Journal of Theoretical and Applied Finance
3 Theory of Probability and its Applications
3 Mathematische Nachrichten
3 Physica D
3 Journal of Economic Dynamics & Control
3 Electronic Communications in Probability
3 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
3 Methodology and Computing in Applied Probability
3 SIAM Journal on Applied Dynamical Systems
3 Mathematical Biosciences and Engineering
2 Journal of Computational Physics
2 Journal of Mathematical Analysis and Applications
2 Physica A
2 Journal of Differential Equations
2 Proceedings of the American Mathematical Society
2 Insurance Mathematics & Economics
2 Acta Applicandae Mathematicae
2 Mathematical and Computer Modelling
2 Neural Computation
2 Communications in Statistics. Theory and Methods
2 Potential Analysis
2 Theory of Probability and Mathematical Statistics
2 Finance and Stochastics
2 Comptes Rendus. Mathématique. Académie des Sciences, Paris
2 Asia-Pacific Financial Markets
2 Probability Surveys
2 International Journal of Stochastic Analysis
2 Annales Henri Lebesgue
1 Analysis Mathematica
1 Biological Cybernetics
1 Communications in Mathematical Physics
1 Computer Physics Communications
1 Lithuanian Mathematical Journal
1 Mathematical Methods in the Applied Sciences
1 Periodica Mathematica Hungarica
1 Physics Reports
1 Studia Mathematica
1 Applied Mathematics and Computation
1 Applied Mathematics and Optimization
1 Automatica
1 BIT
1 Journal of Functional Analysis
1 Journal of Mathematical Psychology
1 Journal of Statistical Planning and Inference
1 Mathematics and Computers in Simulation
1 Memoirs of the American Mathematical Society
1 Proceedings of the London Mathematical Society. Third Series
1 Ricerche di Matematica
1 SIAM Journal on Control and Optimization
1 SIAM Journal on Numerical Analysis
1 Applied Numerical Mathematics
1 Optimization
1 Probability Theory and Related Fields
1 Sequential Analysis
1 Applied Mathematics Letters
1 Queueing Systems
1 Forum Mathematicum
1 European Journal of Applied Mathematics
1 Annals of Operations Research
1 Computational Statistics
1 Automation and Remote Control
1 Communications in Statistics. Simulation and Computation
1 SIAM Journal on Applied Mathematics
1 Expositiones Mathematicae
1 Indagationes Mathematicae. New Series
1 Annales de la Faculté des Sciences de Toulouse. Mathématiques. Série VI
1 Combinatorics, Probability and Computing
1 Bulletin des Sciences Mathématiques
1 Journal of Computational Neuroscience
1 Applied Mathematical Finance
1 Mathematical Finance
1 Mathematical Methods of Operations Research
1 Journal of Inequalities and Applications
1 Fractional Calculus & Applied Analysis
1 Extremes
1 Communications in Nonlinear Science and Numerical Simulation
1 Stochastic Environmental Research and Risk Assessment
1 Scandinavian Actuarial Journal
1 Nonlinear Analysis. Real World Applications
1 Applied Mathematics E-Notes
...and 20 more Serials

Citations by Year