Found 70 Documents (Results 1–70)
Time and place of the maximum for one-dimensional diffusion bridges and meanders. (English) Zbl 1480.60238
Limit fluctuations for density of asymmetric simple exclusion processes with open boundaries. (English. French summary) Zbl 1434.60066
Convergence to the local time of Brownian meander. (English. Russian original) Zbl 1468.60040
Discrete Math. Appl. 29, No. 3, 149-158 (2019); translation from Diskretn. Mat. 29, No. 4, 28-40 (2017).
Dual representations of Laplace transforms of Brownian excursion and generalized meanders. (English) Zbl 1391.60180
MSC:
60J25
Computation of first-order greeks for barrier options using chain rules for Wiener path integrals. (English) Zbl 1419.91619
Functional limit theorem for a stopped random walk attaining a high level. (English. Russian original) Zbl 1397.60067
Discrete Math. Appl. 27, No. 5, 269-276 (2017); translation from Diskretn. Mat. 28, No. 3, 3-13 (2016).
Hack’s law in a drainage network model: a Brownian web approach. (English) Zbl 1344.60017
MSC:
60D05
Nonequilibrium density profiles in Lorentz tubes with thermostated boundaries. (English) Zbl 1367.37006
Reviewer: Giovanni Mascali (Arcavacata di Rende)
Some explicit formulas for the Brownian bridge, Brownian meander and Bessel process under uniform sampling. (English) Zbl 1333.60181
Probability that the maximum of the reflected Brownian motion over a finite interval \([0,t]\) is achieved by its last zero before \(t\). (English) Zbl 1329.60292
The maximal drawdown of the Brownian meander. (English) Zbl 1325.60134
MSC:
60J65
Local asymptotics for the area of random walk excursions. (English) Zbl 1316.60063
Reviewer: Aleksander Iksanov (Kiev)
On the one-sided maximum of Brownian and random walk fragments and its applications to new exotic options called “meander option”. (English) Zbl 1386.91140
A conditional quenched CLT for random walks among random conductances on \({\mathbb Z}^d\). (English) Zbl 1311.60049
On the expectation of normalized Brownian functionals up to first hitting times. (English) Zbl 1291.60164
Random walks with unbounded jumps among random conductances. II: Conditional quenched CLT. (English) Zbl 1295.60082
Exact small deviation asymptotics for some Brownian functionals. (English. Russian original) Zbl 1278.60072
Theory Probab. Appl. 57, No. 1, 60-81 (2013); translation from Teor. Veroyatn. Primen. 57, No. 1, 98-123 (2012).
Reviewer: Nikolai N. Leonenko (Cardiff)
Determinantal process starting from an orthogonal symmetry is a Pfaffian process. (English) Zbl 1235.82016
Extreme value distributions of noncolliding diffusion processes. (English) Zbl 1232.15026
Reviewer: Xiangqian Guo (Zhengzhou)
Brownian high jump. (English. Russian original) Zbl 1223.60064
Theory Probab. Appl. 55, No. 2, 183-197 (2011); translation from Teor. Veroyatn. Primen. 55, No. 2, 209-225 (2010).
A central limit theorem for two-dimensional random walks in a cone. (Un théorème limite central pour des marches aléatoires dans des cônes du plan.) (English. French summary) Zbl 1217.60026
On the distribution of the Brownian motion process on its way to hitting zero. (English) Zbl 1227.60099
On exact simulation algorithms for some distributions related to Brownian motion and Brownian meanders. (English) Zbl 1204.65005
Devroye, Luc (ed.) et al., Recent developments in applied probability and statistics. Dedicated to the memory of Jürgen Lehn. Heidelberg: Physica-Verlag (ISBN 978-3-7908-2597-8/hbk; 978-3-7908-2598-5/ebook). 1-35 (2010).
On boundary crossing probabilities for diffusion processes. (English) Zbl 1211.60017
Reviewer: Vivek S. Borkar (Mumbai)
Invariance principle for the critical branching process in a random environment attaining a high level. (English. Russian original) Zbl 1197.60032
Theory Probab. Appl. 54, No. 1, 1-13 (2009); translation from Teor. Veroyatn. Primen. 54, No. 1, 3-17 (2009).
On exact simulation algorithms for some distributions related to Jacobi theta functions. (English) Zbl 1177.65014
Brownian penalisations related to excursion lengths. VII. (English) Zbl 1181.60046
Reviewer: Pavel Gapeev (London)
Asymptotics of Bernoulli random walks, bridges, excursions and meanders with a given number of peaks. (English) Zbl 1128.60035
A warning about an independence property related to random Brownian scaling. (English) Zbl 1131.60075
Reviewer: Yimin Xiao (East Lansing)
On the remarkable distributions of maxima of some fragments of the standard reflecting random walk and Brownian motion. (English) Zbl 1130.60051
Reviewer: Zdzisław Rychlik (Lublin)
Integration by parts formulae for Wiener measures on a path space between two curves. (English) Zbl 1114.60046
Reviewer: Carles Rovira (Barcelona)
Brownian excursions and Parisian barrier options: a note. (English) Zbl 1056.60040
Reviewer: Yuliya S. Mishura (Kyïv)
Reduced branching processes in random environment. (English) Zbl 1027.60092
Chauvin, Brigitte (ed.) et al., Mathematics and computer science II. Algorithms, trees, combinatorics and probabilities. Proceedings of the 2nd colloquium, Versailles-St.-Quentin, France, September 16-19, 2002. Basel: Birkhäuser. Trends in Mathematics. 455-467 (2002).
Reviewer: Valentin Topchii (Omsk)
On explicit occupation time distributions for Brownian processes. (English) Zbl 1005.60087
Reviewer: N.M.Zinchenko (Kyïv)
MSC:
60J65
Hedging entry and exit decisions: Activating and deactivating barrier options. (English) Zbl 1011.91046
Reviewer: Martin Schweizer (München)
MSC:
91B28
60J65
Interpretations in terms of Brownian and Bessel meanders of the distribution of a subordinated perpetuity. (English) Zbl 0982.60080
Barndorff-Nielsen, Ole E. (ed.) et al., Lévy processes. Theory and applications. Boston: Birkhäuser. 361-375 (2001).
Reviewer: R.E.Maiboroda (Kyïv)
The joint law of the last zeros of Brownian motion and of its Lévy transform. (English) Zbl 0965.60080
Reviewer: Jacques Franchi (Strasbourg)
How many probes are needed to compute the maximum of a random walk? (English) Zbl 0962.60018
MSC:
60G50
On the maximum of a critical branching process in a random environment. (English. Russian original) Zbl 0977.60089
Discrete Math. Appl. 9, No. 3, 267-284 (1999); translation from Diskret. Mat. 11, No. 2, 86-102 (1999).
Reviewer: D.R.Grey (Sheffield)
MSC:
60J80
On probability characteristics of “downfalls” in a standard Brownian motion. (English. Russian original) Zbl 0959.60073
Theory Probab. Appl. 44, No. 1, 29-38 (1999); translation from Teor. Veroyatn. Primen. 44, No. 1, 3-13 (1999).
MSC:
60J65
Fonctionnelles ordonnées des excursions browniennes. (Ranked functionals of Brownian excursions.) (English. Abridged French version) Zbl 0924.60073
Reviewer: O.Brockhaus (London)
Generalized meanders as limits of weighted Bessel processes, and an elementary proof of Spitzer’s asymptotic result on Brownian windings. (English) Zbl 0909.60070
Reviewer: Silvia Curteanu (Iasi)
MSC:
60J65
Brownian excursions and Parisian barrier options. (English) Zbl 0882.60042
MSC:
60G46
Random Brownian scaling and some absolute continuity relationships. (English) Zbl 0827.60010
Bolthausen, Erwin (ed.) et al., Seminar on stochastic analysis, random fields and applications. Proceedings of a seminar held at the Centro Stefano Franscini, Ascona, Switzerland, June 7-12, 1993. Basel: Birkhäuser. Prog. Probab. 36, 243-252 (1995).
Brownian local times. (English) Zbl 0845.60078
Reviewer: R.Mikulevičius (Vilnius)
Path transformations connecting Brownian bridge, excursion and meander. (English) Zbl 0805.60076
Reviewer: N.M.Zinchenko (Kiev)
Conditioned limit theorems for the difference of waiting time and queue length. (English) Zbl 0792.60085
Conditioned limit theorem for virtual waiting time process of the GI/G/1 queue. (English) Zbl 0669.60087
Reviewer: W.Vogel
Quelques précisions sur le méandre brownien. (Some precisions on the Brownian meander). (French) Zbl 0665.60081
Reviewer: M.Dozzi
MSC:
60J65
Conditioned limit theorems for functions of the average of I.I.D. random variables. (English) Zbl 0649.60020
Reviewer: L.Weiss
Valeurs principales associées aux temps locaux Browniens. (Principal values associated to Brownian local times). (French) Zbl 0619.60072
Reviewer: J.Le Gall
Operational derivation of some Brownian motion results. (English) Zbl 0624.60092
Reviewer: A.D.Barbour
Some joint distributions for conditional random walks. (English) Zbl 0594.60075
Reviewer: H.Wegmann
Density factorizations for Brownian motion, meander and the three- dimensional Bessel process, and applications. (English) Zbl 0547.60081
Reviewer: A.Pakes
MSC:
60J65
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