Results 1 
7 of
7
On some exponential functionals of Brownian motion
 Adv. Appl. Prob
, 1992
"... Abstract: This is the second part of our survey on exponential functionals of Brownian motion. We focus on the applications of the results about the distributions of the exponential functionals, which have been discussed in the first part. Pricing formula for call options for the Asian options, expl ..."
Abstract

Cited by 98 (10 self)
 Add to MetaCart
Abstract: This is the second part of our survey on exponential functionals of Brownian motion. We focus on the applications of the results about the distributions of the exponential functionals, which have been discussed in the first part. Pricing formula for call options for the Asian options, explicit expressions for the heat kernels on hyperbolic spaces, diffusion processes in random environments and extensions of Lévy’s and Pitman’s theorems are discussed.
Brownian analogues of Burke’s theorem
, 2001
"... We discuss Brownian analogues of a celebrated theorem, due to Burke, which states that the output of a (stable, stationary) M/M/1 queue is Poisson, and the related notion of quasireversibility. A direct analogue of Burke’s theorem for the Brownian queue was stated and proved by Harrison (Brownian Mo ..."
Abstract

Cited by 21 (7 self)
 Add to MetaCart
We discuss Brownian analogues of a celebrated theorem, due to Burke, which states that the output of a (stable, stationary) M/M/1 queue is Poisson, and the related notion of quasireversibility. A direct analogue of Burke’s theorem for the Brownian queue was stated and proved by Harrison (Brownian Motion and Stochastic Flow Systems, Wiley, New York, 1985). We present several different proofs of this and related results. We also present an analogous result for geometric functionals of Brownian motion. By considering series of queues in tandem, these theorems can be applied to a certain class of directed percolation and directed polymer models. It was recently discovered that there is a connection between this directed percolation model and the GUE random matrix ensemble. We extend and give a direct proof of this connection in the twodimensional case. In all of the above, reversibility plays a key role.
Random matrices, noncolliding processes and queues
 TO APPEAR IN SÉMINAIRE DE PROBABILITÉS XXXVI
, 2002
"... This is survey of some recent results connecting random matrices, noncolliding processes and queues. ..."
Abstract

Cited by 20 (3 self)
 Add to MetaCart
This is survey of some recent results connecting random matrices, noncolliding processes and queues.
reality: Hybrid Brownian motion with price
, 2009
"... A model of returns for the postcreditcrunch ..."
A short proof of an identity for a Brownian Bridge due to DonatiMartin, Matsumoto and Yor.
, 2006
"... Let (W t ) 0#t#1 be a Brownian Bridge. Then, as shown by DonatiMartin, Matsumoto and Yor, the following identity holds: = 1. ..."
Abstract
 Add to MetaCart
Let (W t ) 0#t#1 be a Brownian Bridge. Then, as shown by DonatiMartin, Matsumoto and Yor, the following identity holds: = 1.
An Extension of Seshadri's Identities for Brownian Motion
, 2002
"... In this note we extend and clarify some identities in law for Brownian motion proved by V. Seshadri [8] using a new identity in law obtained by H. Matsumoto and M. Yor [6]. ..."
Abstract
 Add to MetaCart
In this note we extend and clarify some identities in law for Brownian motion proved by V. Seshadri [8] using a new identity in law obtained by H. Matsumoto and M. Yor [6].