Roynette, Bernard
- Limiting laws associated with Brownian motion perturbed by its maximum, minmum and local time II
2005/10/26 by Bernard Roynette, Pierre Vallois, Roynette, Bernard +3 · 1 citation
Economics, Econometrics and Finance · Mathematics · #Stochastic processes and financial applications #advanced mathematical theories #Stochastic processes and statistical mechanics
- Limiting laws associated with Brownian motion perturbated by normalized exponential weights I
2005/10/26 by Bernard Roynette, Roynette, Bernard, Pierre Vallois +3 · 1 citation
Economics, Econometrics and Finance · Mathematics · #60F17 #60G44 #60J25 #60J35 #60J55 #60J57 #60J60 #60J65 #AMS : 60F10 #FOS: Mathematics #Financial Risk and Volatility Modeling #Probability (math.PR) #Stochastic processes and financial applications #Stochastic processes and statistical mechanics