Results 11 to 20 of about 63 (62)
Optimal Surplus-dependent Reinsurance under Regime-Switching in a Brownian Risk Model [PDF]
, 2021 Eisenberg J, Fabrykowski L, Schmeck MD. Optimal Surplus-dependent Reinsurance under Regime-Switching in a Brownian Risk Model. Center for Mathematical Economics Working Papers. Vol 648. Bielefeld: Center for Mathematical Economics; 2021.In this paper, we
Maren Diane Schmeck +5 more
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American Parisian options [PDF]
, 2006 Parisian options, American options, Excursions, G12, G13, C61, C65, 60G40, 62L15, 60J65,
Marc Chesney +3 more
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A generalized clark-ocone formula [PDF]
, 2000 60H25 (60H07 60H40 60J55 60J65)We extend the Clark-Ocone formula to a suitable class of generalized Brownian functionals.
Oliveira, Maria João +2 more
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On the time of the maximum of Brownian motion with drift
International Journal of Stochastic Analysis, Volume 16, Issue 3, Page 201-207, 2003., 2003 The distribution of the time at which Brownian motion with drift attains its maximum on a given interval is obtained by elementary methods. The proof depends on a remarkable integral identity involving Gaussian distribution functions.
Emannuel Buffet
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The moments of the area under reflected Brownian bridge conditional on its local time at zero
International Journal of Stochastic Analysis, Volume 13, Issue 2, Page 99-124, 2000., 2000 This paper develops a recursion formula for the conditional moments of the area under the absolute value of Brownian bridge given the local time at 0. The method of power series leads to a Hermite equation for the generating function of the coefficients which is solved in terms of the parabolic cylinder functions.
Frank B. Knight
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Sojourn times for the Brownian motion
International Journal of Stochastic Analysis, Volume 11, Issue 3, Page 231-246, 1998., 1998 In this paper explicit formulas are given for the distribution function, the density function and the moments of the sojourn time for the reflecting Brownian motion process.
Lajos Takács
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International Journal of Stochastic Analysis, Volume 8, Issue 3, Page 209-232, 1995., 1995 In this paper explicit formulas are given for the distribution functions and the moments of the local times of the Brownian motion, the reflecting Brownian motion, the Brownian meander, the Brownian bridge, the reflecting Brownian bridge and the Brownian excursion.
Lajos Takács
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Square variation of Brownian paths in Banach spaces
International Journal of Mathematics and Mathematical Sciences, Volume 5, Issue 3, Page 605-607, 1982., 1982 It is known that if {W(t), 0 ≤ t ≤ 1} is a standard Brownian motion in ℝ then almost surely. We generalize this celebrated theorem of Levy to Brownian motion in real separable Banach spaces.
Mou-Hsiung Chang
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A note on local asymptotic behaviour for Brownian motion in Banach spaces
International Journal of Mathematics and Mathematical Sciences, Volume 2, Issue 4, Page 669-676, 1979., 1979 In this paper we obtain an integral characterization of a two‐sided upper function for Brownian motion in a real separable Banach space. This characterization generalizes that of Jain and Taylor [2] where B = ℝn. The integral test obtained involves the index of a mean zero Gaussian measure on the Banach space, which is due to Kuelbs [3].
Mou-Hsiung Chang
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Perturbed Brownian motion and its application to Parisian option pricing
, 2010 Excursion time, Two-state semi-Markov model, Path-dependent options, Parisian options, Laplace transform, 91B28, 60J65, 60K15, 60J27, G13,
Dassios, Angelos +3 more
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