We consider the problem of the first passage time T of an inhomogeneous geometric
Brownian motion through a constant threshold, for which only limited results are available in …

The paper focuses on an approximation of the first passage time probability density function
of a Feller stochastic process by using cumulants and a Laguerre-Gamma polynomial …

In this thesis, we study Parisian excursions, which are defined as excursions of Brownian
motion above or below a pre-determined barrier, exceeding a certain time length. Employing …

The aim of this paper is to derive a set of easily implementable formulas regarding the
probability distribution of the integral of a squared Brownian motion with drift. By …

Let W (t) be a Brownian motion. Then X (t)= exp [W (t)] is known as a geometric Brownian
motion. In this paper, the bidimen sional geometric Brownian motion is considered. Explicit …

We study Brownian motion in a drifted Brownian potential. Kawazu and Tanaka [J. Math.
Soc. Japan 49 (1997) 189–211] exhibited two speed regimes for this process, depending on …

We derive sufficient conditions for asymptotic and monotone exponential decay in mean
square of solutions of the geometric Brownian motion with delay. The conditions are written …

We consider a two-dimensional semimartingale reflecting Brownian motion (SRBM) in the
nonnegative quadrant. The data of the SRBM consists of a two-dimensional drift vector, a 2× …

In this paper, a class of statistics based on high frequency observations of oscillating and
skew Brownian motions is considered. Their convergence rate towards the local time of the …

In this paper we consider the class of Lévy processes that can be written as a Brownian
motion time changed by an independent Lévy subordinator. Examples in this class include …