Add to ORKGIt is well known that Brownian motion enjoys several distributional invariances such as the scaling property and the time reversal. In this paper, we prove another invariance of Brownian motion that is compatible with the time reversal. The invariance, which seems to be new to our best knowledge, is described in terms of an anticipative path transformation involving exponential functionals as anticipating factors. Some related results are also provided.Comment: 26 pages. Main results have been reinforced as joint identitie
Cyclic structure and dynamics are of great interest in both the fields of stochastic process and non...
We provide an Itô formula for stochastic dynamical equation on general time scales. Based on this It...
Thesis (Master's)--University of Washington, 2020Trading strategies based on moving average indicato...
In this paper, with the help of a result by Matsumoto--Yor (2000), we prove a Girsanov-type formula ...
The purpose of this work is to state the Donsker's invariance principle which is about the relation ...
18 pagesThe paper deals with exponential functionals of the linear Brownian motion which arise in di...
We study Brownian motion reflected on an "independent" Brownian path. We prove results on the joint ...
Abstract. We study Brownian motion reflected on an “independent ” Brownian path. We prove results on...
International audienceWe apply dynamical ideas within probability theory, proving an almost-sure inv...
In this article, we generalize Wiener\u27s existence result for one-dimensional Brownian motion by c...
AbstractWe provide a surprising new application of classical approximation theory to a fundamental a...
It has been recently shown that the velocity autocorrelation function of a tracer particle immersed ...
this paper, we mention an interesting property: stopped at some suitably chosen random times, the pr...
We present a perturbation theory extending a prescription due to Feynman for computing the probabili...
Using a martingale condition and some restrictions on moments up to fourth order the characterisatio...
Cyclic structure and dynamics are of great interest in both the fields of stochastic process and non...
We provide an Itô formula for stochastic dynamical equation on general time scales. Based on this It...
Thesis (Master's)--University of Washington, 2020Trading strategies based on moving average indicato...
In this paper, with the help of a result by Matsumoto--Yor (2000), we prove a Girsanov-type formula ...
The purpose of this work is to state the Donsker's invariance principle which is about the relation ...
18 pagesThe paper deals with exponential functionals of the linear Brownian motion which arise in di...
We study Brownian motion reflected on an "independent" Brownian path. We prove results on the joint ...
Abstract. We study Brownian motion reflected on an “independent ” Brownian path. We prove results on...
International audienceWe apply dynamical ideas within probability theory, proving an almost-sure inv...
In this article, we generalize Wiener\u27s existence result for one-dimensional Brownian motion by c...
AbstractWe provide a surprising new application of classical approximation theory to a fundamental a...
It has been recently shown that the velocity autocorrelation function of a tracer particle immersed ...
this paper, we mention an interesting property: stopped at some suitably chosen random times, the pr...
We present a perturbation theory extending a prescription due to Feynman for computing the probabili...
Using a martingale condition and some restrictions on moments up to fourth order the characterisatio...
Cyclic structure and dynamics are of great interest in both the fields of stochastic process and non...
We provide an Itô formula for stochastic dynamical equation on general time scales. Based on this It...
Thesis (Master's)--University of Washington, 2020Trading strategies based on moving average indicato...