For a time-homogenous one-dimensional diffusion process X (t), we investigate the distribution of the first instant, after a given time r, at which X (t) exceeds its maximum in the interval [0, r], generalizing a result of Papanicolaou, holding for Brownian motio
We consider a standard Brownian motion whose drift alternates randomly between a positive and a nega...
We provide a complete characterization of the class of one-dimensional time-homogeneous diffusions c...
Abstract. Some equations are obtained for the moments of the first passage time of a one-dimensional...
For a time-homogenous one-dimensional diffusion process X (t), we investigate the distribution of t...
We deal with the qualitative behaviour of the first-passage-time density of a one-dimensional dif...
We deal with the qualitative behaviour of the first-passage-time density of a one-dimensional dif...
6 pages, 6 figuresInternational audienceThe three arcsine laws for Brownian motion are a cornerstone...
While the distribution of the absorption time of a Brownian motion starting in a fixed point between...
Analytic expressions are presented for the characteristic function of the first passage time distrib...
AbstractThe long time asymptotics of the time spent on the positive side are discussed for one-dimen...
The distribution of the Æ-quantile of a Brownian motion on an interval [0, t] has been obtained moti...
The distribution of the time at which Brownian motion with drift attains its maximum on a given inte...
The distribution of the α-quantile of a Brownian motion on an interval [0, t] has been obtained moti...
The limit distributions as T-->[infinity] of the functional are found for one-dimensional null-recur...
Suppose that (Xt ) t ≥0 is a one-dimensional Brownian motion with negative drift -μ. It is possible ...
We consider a standard Brownian motion whose drift alternates randomly between a positive and a nega...
We provide a complete characterization of the class of one-dimensional time-homogeneous diffusions c...
Abstract. Some equations are obtained for the moments of the first passage time of a one-dimensional...
For a time-homogenous one-dimensional diffusion process X (t), we investigate the distribution of t...
We deal with the qualitative behaviour of the first-passage-time density of a one-dimensional dif...
We deal with the qualitative behaviour of the first-passage-time density of a one-dimensional dif...
6 pages, 6 figuresInternational audienceThe three arcsine laws for Brownian motion are a cornerstone...
While the distribution of the absorption time of a Brownian motion starting in a fixed point between...
Analytic expressions are presented for the characteristic function of the first passage time distrib...
AbstractThe long time asymptotics of the time spent on the positive side are discussed for one-dimen...
The distribution of the Æ-quantile of a Brownian motion on an interval [0, t] has been obtained moti...
The distribution of the time at which Brownian motion with drift attains its maximum on a given inte...
The distribution of the α-quantile of a Brownian motion on an interval [0, t] has been obtained moti...
The limit distributions as T-->[infinity] of the functional are found for one-dimensional null-recur...
Suppose that (Xt ) t ≥0 is a one-dimensional Brownian motion with negative drift -μ. It is possible ...
We consider a standard Brownian motion whose drift alternates randomly between a positive and a nega...
We provide a complete characterization of the class of one-dimensional time-homogeneous diffusions c...
Abstract. Some equations are obtained for the moments of the first passage time of a one-dimensional...
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