If, in January of 1926, an investor put $1 into one-month US Treasury bills—one of the
“safest” assets in the world—and continued reinvesting the proceeds in Treasury bills month …

Laplace transforms related to excursions of a one-dimensional diffusion Page 1 Laplace
transforms related to excursions of a one-dimensional diffusion JIM PITMAN 1 and MARC YOR2 …

In Scheike (1990) a general boundary crossing result for the Brownian motion is obtained.
Using path integrals, M. Teunen and M. Goovaerts obtained this result and some …

The purpose of this paper is to present some propositions about the Laplace transform
related to the first hitting time to piecewise linear functions of a Brownian motion. We …

McGill showed that the intrinsic local time process ̃ L (t, x), t≧ 0, x∈ ℝ, of one-dimensional
Brownian motion is, for fixed t> 0, a supermartingale in the space variable, and derived an …

We study the asymptotic behavior of the first-passage times for Brownian motion, Lévy
processes and continuous martingales over one-sided increasing stochastic, as well as …

We solve the first-passage problem for the Heston random diffusion model. We obtain exact
analytical expressions for the survival and the hitting probabilities to a given level of return …

This paper analyzes multivariate delayed random walk processes and multivariate Poisson
processes and presents some applications to the stock market. When trading with stock …

In this paper, we study higher order variations of iterated Brownian motion (IBM) with view
towards possible applications to the construction of the stochastic integral with respect to …

We present a constructive probabilistic proof of the fact that if B=(B_t)_t\ge0 is standard
Brownian motion started at 0, and μ is a given probability measure on R such that μ({0\})=0 …