We obtain the Laplace transform and integrability properties of the integral over $\Bbb R_+$ of the call quantity associated with geometric Brownian motion with negative drift, thus adding a new element to the list of already studied Brownian perpetuitie
AbstractIn this paper, we compute the Laplace transform of occupation times (of the negative half-li...
The authors recently discovered some interesting relations between the Black-Scholes formula and las...
34 pagesBy means of white noise analysis, we prove some limit theorems for nonlinear functionals of ...
We determine the rate of decay of the expectation Z(t) of some multiplicative functional related to ...
International audienceFor a large class of $\mathbb{R}_{+}$ valued, continuous local martingales $(M...
AbstractQuasi-invariance under translation is established for the σ-finite measure unifying Brownian...
We obtain probability measures on the canonical space penalizing the Wiener measure by a function of...
We show how a description of Brownian exponential functionals as a renewal series gives access to th...
We show how a description of Brownian exponential functionals as a renewal series gives access to th...
On one hand, we penalise Brownian paths by a function of one-sided supremum of Brownian motion, cons...
In this paper, we compute the Laplace transform of occupation times (of the negative half-line) of s...
AbstractThe addition of a Bessel drift 1x to a Brownian motion affects the lifetime of the process i...
On one hand, we penalise Brownian paths by a function of one-sided supremum of Brownian motion, cons...
Article accepté à Studia Scientarum Mathematicarum Hungarica 2007International audienceWe study the ...
We determine the rate of decay of the expectation Z(t) of some multiplicative functional related to ...
AbstractIn this paper, we compute the Laplace transform of occupation times (of the negative half-li...
The authors recently discovered some interesting relations between the Black-Scholes formula and las...
34 pagesBy means of white noise analysis, we prove some limit theorems for nonlinear functionals of ...
We determine the rate of decay of the expectation Z(t) of some multiplicative functional related to ...
International audienceFor a large class of $\mathbb{R}_{+}$ valued, continuous local martingales $(M...
AbstractQuasi-invariance under translation is established for the σ-finite measure unifying Brownian...
We obtain probability measures on the canonical space penalizing the Wiener measure by a function of...
We show how a description of Brownian exponential functionals as a renewal series gives access to th...
We show how a description of Brownian exponential functionals as a renewal series gives access to th...
On one hand, we penalise Brownian paths by a function of one-sided supremum of Brownian motion, cons...
In this paper, we compute the Laplace transform of occupation times (of the negative half-line) of s...
AbstractThe addition of a Bessel drift 1x to a Brownian motion affects the lifetime of the process i...
On one hand, we penalise Brownian paths by a function of one-sided supremum of Brownian motion, cons...
Article accepté à Studia Scientarum Mathematicarum Hungarica 2007International audienceWe study the ...
We determine the rate of decay of the expectation Z(t) of some multiplicative functional related to ...
AbstractIn this paper, we compute the Laplace transform of occupation times (of the negative half-li...
The authors recently discovered some interesting relations between the Black-Scholes formula and las...
34 pagesBy means of white noise analysis, we prove some limit theorems for nonlinear functionals of ...