Local Times and Related Properties of Multidimensional Iterated Brownian Motion Page 1
Journal of Theoretical Probability, Vol. 11, No. 2, 1998 Local Times and Related Properties of …

Joint distribution of Brownian motion and its maximum, with a generalization to correlated BM
and applications to barrier option Page 1 F- ~ , ,, t' ,, ?, .-~ ELSEVIER Statistics & Probability …

We consider high-frequency observations from a fractional Brownian motion. Inspired by the
work of Jean Jacod in a diffusion setting, we investigate the asymptotic behavior of various …

This paper studies the first passage times to flat boundaries for a double exponential jump
diffusion process, which consists of a continuous part driven by a Brownian motion and a …

In this note we compute the Laplace transform of hitting times, to fixed levels, of integrated
geometric Brownian motion. The transform is expressed in terms of the gamma and …

Brownian local times Page 1 Journal of Applied Mathematics and Stochastic Analysis 8,
Number 3, 1995, 209-232 BROWNIAN LOCAL TIMES LAJOS TAK,CS1 Case Western Reserve …

The Intersection Local Time of Fractional Brownian Motion in the Plane Page 1 JOURNAL OF
MULTlVARIATE ANALYSIS 23. 37-46 ( 1987) The Intersection Local Time of Fractional …

In this paper we assign a set of conditions to a strong Markov process and arrive at a
differential equation analogous to the Kolmogorov equation. However, in this case the …

Fractional Brownian motion and Martingale-differences - ScienceDirect Skip to main contentSkip
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Let Tε k (λ; t1,..., tk)= ρ (Xt1) qε (Xt2-Xt1)⋯ qε (Xtk-Xtk-1), where Xt is a Brownian motion in
R2, λ (dx)= ρ (x) dx and qε converges to Dirac's delta function as. The self-intersection local …