Caballero, Maria-Emilia; Rouault, Alain Invariance principles for clocks. (English) Zbl 1498.60129 Donati-Martin, Catherine (ed.) et al., Séminaire de probabilités LI. Cham: Springer. Lect. Notes Math. 2301, 175-188 (2022). MSC: 60F17 60J25 PDF BibTeX XML Cite \textit{M.-E. Caballero} and \textit{A. Rouault}, Lect. Notes Math. 2301, 175--188 (2022; Zbl 1498.60129) Full Text: DOI arXiv OpenURL
Chazal, Marie; Kyprianou, Andreas E.; Patie, Pierre A transformation for spectrally negative Lévy processes and applications. (English) Zbl 1496.60046 Chaumont, Loïc (ed.) et al., A lifetime of excursions through random walks and Lévy processes. A volume in honour of Ron Doney’s 80th birthday. Cham: Birkhäuser. Prog. Probab. 78, 157-180 (2021). MSC: 60G51 60E10 PDF BibTeX XML Cite \textit{M. Chazal} et al., Prog. Probab. 78, 157--180 (2021; Zbl 1496.60046) Full Text: DOI OpenURL
Patie, Pierre; Savov, Mladen Spectral expansions of non-self-adjoint generalized Laguerre semigroups. (English) Zbl 07492804 Memoirs of the American Mathematical Society 1336. Providence, RI: American Mathematical Society (AMS) (ISBN 978-1-4704-4936-0/pbk; 978-1-4704-6752-4/ebook). v, 182 p. (2021). Reviewer: Franco Fagnola (Milano) MSC: 47D07 46B28 33C45 35P05 41A60 60E07 42C15 40E05 30D05 44A20 47-02 PDF BibTeX XML Cite \textit{P. Patie} and \textit{M. Savov}, Spectral expansions of non-self-adjoint generalized Laguerre semigroups. Providence, RI: American Mathematical Society (AMS) (2021; Zbl 07492804) Full Text: DOI arXiv OpenURL
Lavagnini, Silvia Pricing Asian options with correlators. (English) Zbl 1484.91480 Int. J. Theor. Appl. Finance 24, No. 8, Article ID 2150041, 44 p. (2021). MSC: 91G20 33C45 60J74 PDF BibTeX XML Cite \textit{S. Lavagnini}, Int. J. Theor. Appl. Finance 24, No. 8, Article ID 2150041, 44 p. (2021; Zbl 1484.91480) Full Text: DOI arXiv OpenURL
Xu, Wei Asymptotic results for heavy-tailed Lévy processes and their exponential functionals. (English) Zbl 1489.60078 Bernoulli 27, No. 4, 2766-2803 (2021). Reviewer: Jean-Jil Duchamps (Besançon) MSC: 60G51 60J80 60G50 PDF BibTeX XML Cite \textit{W. Xu}, Bernoulli 27, No. 4, 2766--2803 (2021; Zbl 1489.60078) Full Text: DOI arXiv OpenURL
Behme, Anita; Lindner, Alexander; Reker, Jana; Rivero, Victor Continuity properties and the support of killed exponential functionals. (English) Zbl 1475.60086 Stochastic Processes Appl. 140, 115-146 (2021). MSC: 60G51 60E07 60G30 60H10 PDF BibTeX XML Cite \textit{A. Behme} et al., Stochastic Processes Appl. 140, 115--146 (2021; Zbl 1475.60086) Full Text: DOI arXiv OpenURL
Behme, Anita; Lindner, Alexander; Reker, Jana On the law of killed exponential functionals. (English) Zbl 1469.60061 Electron. J. Probab. 26, Paper No. 60, 35 p. (2021). MSC: 60E07 60E10 60G51 60J35 PDF BibTeX XML Cite \textit{A. Behme} et al., Electron. J. Probab. 26, Paper No. 60, 35 p. (2021; Zbl 1469.60061) Full Text: DOI arXiv OpenURL
Boudabsa, Lotfi; Simon, Thomas; Vallois, Pierre Fractional extreme distributions. (English) Zbl 1472.60021 Electron. J. Probab. 25, Paper No. 115, 20 p. (2020). MSC: 60E05 33B15 PDF BibTeX XML Cite \textit{L. Boudabsa} et al., Electron. J. Probab. 25, Paper No. 115, 20 p. (2020; Zbl 1472.60021) Full Text: DOI arXiv Euclid OpenURL
Vostrikova, Lioudmila On distributions of exponential functionals of the processes with independent increments. (English) Zbl 1457.60065 Mod. Stoch., Theory Appl. 7, No. 3, 291-313 (2020). MSC: 60G51 91G80 PDF BibTeX XML Cite \textit{L. Vostrikova}, Mod. Stoch., Theory Appl. 7, No. 3, 291--313 (2020; Zbl 1457.60065) Full Text: DOI arXiv OpenURL
Spielmann, J.; Vostrikova, L. On the ruin problem with investment when the risky asset is a semimartingale. (English. Russian original) Zbl 1459.60100 Theory Probab. Appl. 65, No. 2, 249-269 (2020); translation from Teor. Veroyatn. Primen. 65, No. 2, 312-337 (2020). MSC: 60G51 91G40 60G44 60H30 PDF BibTeX XML Cite \textit{J. Spielmann} and \textit{L. Vostrikova}, Theory Probab. Appl. 65, No. 2, 249--269 (2020; Zbl 1459.60100); translation from Teor. Veroyatn. Primen. 65, No. 2, 312--337 (2020) Full Text: DOI arXiv OpenURL
Boguslavskaya, Elena; Vostrikova, Lioudmila Revisiting integral functionals of geometric Brownian motion. (English) Zbl 1460.60037 Stat. Probab. Lett. 165, Article ID 108834, 6 p. (2020). MSC: 60G51 60J65 91G80 PDF BibTeX XML Cite \textit{E. Boguslavskaya} and \textit{L. Vostrikova}, Stat. Probab. Lett. 165, Article ID 108834, 6 p. (2020; Zbl 1460.60037) Full Text: DOI arXiv OpenURL
Willems, Sander Asian option pricing with orthogonal polynomials. (English) Zbl 1420.91481 Quant. Finance 19, No. 4, 605-618 (2019). MSC: 91G20 PDF BibTeX XML Cite \textit{S. Willems}, Quant. Finance 19, No. 4, 605--618 (2019; Zbl 1420.91481) Full Text: DOI arXiv OpenURL
Véchambre, Grégoire Exponential functionals of spectrally one-sided Lévy processes conditioned to stay positive. (English. French summary) Zbl 1466.60098 Ann. Inst. Henri Poincaré, Probab. Stat. 55, No. 2, 620-660 (2019). MSC: 60G51 PDF BibTeX XML Cite \textit{G. Véchambre}, Ann. Inst. Henri Poincaré, Probab. Stat. 55, No. 2, 620--660 (2019; Zbl 1466.60098) Full Text: DOI arXiv Euclid OpenURL
Bertoin, Jean Ergodic aspects of some Ornstein-Uhlenbeck type processes related to Lévy processes. (English) Zbl 1488.60077 Stochastic Processes Appl. 129, No. 4, 1443-1454 (2019). MSC: 60G10 60G18 60G51 37A10 PDF BibTeX XML Cite \textit{J. Bertoin}, Stochastic Processes Appl. 129, No. 4, 1443--1454 (2019; Zbl 1488.60077) Full Text: DOI arXiv OpenURL
Ged, François Gaston Profile of a self-similar growth-fragmentation. (English) Zbl 1412.60111 Electron. J. Probab. 24, Paper No. 7, 21 p. (2019). MSC: 60J25 60G18 60G30 PDF BibTeX XML Cite \textit{F. G. Ged}, Electron. J. Probab. 24, Paper No. 7, 21 p. (2019; Zbl 1412.60111) Full Text: DOI arXiv Euclid OpenURL
Letemplier, Julien; Simon, Thomas On the law of homogeneous stable functionals. (English) Zbl 1411.60070 ESAIM, Probab. Stat. 23, 82-111 (2019). MSC: 60G51 60G52 PDF BibTeX XML Cite \textit{J. Letemplier} and \textit{T. Simon}, ESAIM, Probab. Stat. 23, 82--111 (2019; Zbl 1411.60070) Full Text: DOI arXiv OpenURL
Salminen, Paavo; Vostrikova, Lioudmila On moments of integral exponential functionals of additive processes. (English) Zbl 1407.60115 Stat. Probab. Lett. 146, 139-146 (2019). MSC: 60J75 60J60 60E10 PDF BibTeX XML Cite \textit{P. Salminen} and \textit{L. Vostrikova}, Stat. Probab. Lett. 146, 139--146 (2019; Zbl 1407.60115) Full Text: DOI arXiv OpenURL
Devroye, Luc; Holmgren, Cecilia; Sulzbach, Henning Heavy subtrees of Galton-Watson trees with an application to Apollonian networks. (English) Zbl 1406.60117 Electron. J. Probab. 24, Paper No. 2, 44 p. (2019). MSC: 60J80 60J85 05C80 PDF BibTeX XML Cite \textit{L. Devroye} et al., Electron. J. Probab. 24, Paper No. 2, 44 p. (2019; Zbl 1406.60117) Full Text: DOI arXiv Euclid OpenURL
Feng, Runhuan; Kuznetsov, Alexey; Yang, Fenghao Exponential functionals of Lévy processes and variable annuity guaranteed benefits. (English) Zbl 1405.60060 Stochastic Processes Appl. 129, No. 2, 604-625 (2019). MSC: 60G51 91B30 PDF BibTeX XML Cite \textit{R. Feng} et al., Stochastic Processes Appl. 129, No. 2, 604--625 (2019; Zbl 1405.60060) Full Text: DOI arXiv OpenURL
Stephenson, Robin On the exponential functional of Markov additive processes, and applications to multi-type self-similar fragmentation processes and trees. (English) Zbl 1414.60022 ALEA, Lat. Am. J. Probab. Math. Stat. 15, No. 2, 1257-1292 (2018). MSC: 60G09 60G18 60G51 60J25 60J80 PDF BibTeX XML Cite \textit{R. Stephenson}, ALEA, Lat. Am. J. Probab. Math. Stat. 15, No. 2, 1257--1292 (2018; Zbl 1414.60022) Full Text: arXiv Link OpenURL
Salminen, P.; Vostrikova, L. On exponential functionals of processes with independent increments. (English) Zbl 1414.60033 Theory Probab. Appl. 63, No. 2, 267-291 (2018) and Teor. Veroyatn. Primen. 63, No. 2, 330-357 (2018). MSC: 60G51 PDF BibTeX XML Cite \textit{P. Salminen} and \textit{L. Vostrikova}, Theory Probab. Appl. 63, No. 2, 267--291 (2018; Zbl 1414.60033) Full Text: DOI arXiv OpenURL
Rembart, Franz; Winkel, Matthias Recursive construction of continuum random trees. (English) Zbl 1445.60064 Ann. Probab. 46, No. 5, 2715-2748 (2018). Reviewer: Matthias Meiners (Innsbruck) MSC: 60J80 60J05 PDF BibTeX XML Cite \textit{F. Rembart} and \textit{M. Winkel}, Ann. Probab. 46, No. 5, 2715--2748 (2018; Zbl 1445.60064) Full Text: DOI arXiv Euclid OpenURL
Kevei, Péter Ergodic properties of generalized Ornstein-Uhlenbeck processes. (English) Zbl 1386.60259 Stochastic Processes Appl. 128, No. 1, 156-181 (2018). MSC: 60J25 60H10 PDF BibTeX XML Cite \textit{P. Kevei}, Stochastic Processes Appl. 128, No. 1, 156--181 (2018; Zbl 1386.60259) Full Text: DOI arXiv OpenURL
Li, Zenghu; Xu, Wei Asymptotic results for exponential functionals of Lévy processes. (English) Zbl 1386.60170 Stochastic Processes Appl. 128, No. 1, 108-131 (2018). MSC: 60G51 60J55 60K37 60J80 PDF BibTeX XML Cite \textit{Z. Li} and \textit{W. Xu}, Stochastic Processes Appl. 128, No. 1, 108--131 (2018; Zbl 1386.60170) Full Text: DOI arXiv OpenURL
Biedrzycka, Weronika; Tyran-Kamińska, Marta Self-similar solutions of fragmentation equations revisited. (English) Zbl 06807040 Discrete Contin. Dyn. Syst., Ser. B 23, No. 1, 13-27 (2018). MSC: 47D06 60J25 60J35 60J75 PDF BibTeX XML Cite \textit{W. Biedrzycka} and \textit{M. Tyran-Kamińska}, Discrete Contin. Dyn. Syst., Ser. B 23, No. 1, 13--27 (2018; Zbl 06807040) Full Text: DOI arXiv OpenURL
Patie, P.; Zhao, Y. Spectral decomposition of fractional operators and a reflected stable semigroup. (English) Zbl 1368.47032 J. Differ. Equations 262, No. 3, 1690-1719 (2017). MSC: 47D07 35R11 47G20 60G52 42C15 58C40 PDF BibTeX XML Cite \textit{P. Patie} and \textit{Y. Zhao}, J. Differ. Equations 262, No. 3, 1690--1719 (2017; Zbl 1368.47032) Full Text: DOI arXiv OpenURL
Palau, Sandra; Pardo, Juan Carlos; Smadi, Charline Asymptotic behaviour of exponential functionals of Lévy processes with applications to random processes in random environment. (English) Zbl 1355.60061 ALEA, Lat. Am. J. Probab. Math. Stat. 13, No. 2, 1235-1258 (2016). MSC: 60G51 60F99 60J80 60K37 60J60 60G17 PDF BibTeX XML Cite \textit{S. Palau} et al., ALEA, Lat. Am. J. Probab. Math. Stat. 13, No. 2, 1235--1258 (2016; Zbl 1355.60061) Full Text: arXiv Link OpenURL
Lyasoff, Andrew Another look at the integral of exponential Brownian motion and the pricing of Asian options. (English) Zbl 1354.60087 Finance Stoch. 20, No. 4, 1061-1096 (2016). Reviewer: Kun Soo Chang (Seoul) MSC: 60J65 60J60 60K37 91G20 PDF BibTeX XML Cite \textit{A. Lyasoff}, Finance Stoch. 20, No. 4, 1061--1096 (2016; Zbl 1354.60087) Full Text: DOI OpenURL
Behme, Anita; Lindner, Alexander On exponential functionals of Lévy processes. (English) Zbl 1323.60063 J. Theor. Probab. 28, No. 2, 681-720 (2015). MSC: 60G51 60G10 60J60 60J35 PDF BibTeX XML Cite \textit{A. Behme} and \textit{A. Lindner}, J. Theor. Probab. 28, No. 2, 681--720 (2015; Zbl 1323.60063) Full Text: DOI arXiv OpenURL
Jakubowski, Jacek; Wiśniewolski, Maciej On hyperbolic Bessel processes and beyond. (English) Zbl 1284.60150 Bernoulli 19, No. 5B, 2437-2454 (2013). MSC: 60J60 PDF BibTeX XML Cite \textit{J. Jakubowski} and \textit{M. Wiśniewolski}, Bernoulli 19, No. 5B, 2437--2454 (2013; Zbl 1284.60150) Full Text: DOI arXiv OpenURL
Pardo, J. C.; Rivero, V.; Van Schaik, K. On the density of exponential functionals of Lévy processes. (English) Zbl 1305.60035 Bernoulli 19, No. 5A, 1938-1964 (2013). Reviewer: Svetlana Anulova (Moskva) MSC: 60G51 60G18 60J99 62E20 PDF BibTeX XML Cite \textit{J. C. Pardo} et al., Bernoulli 19, No. 5A, 1938--1964 (2013; Zbl 1305.60035) Full Text: DOI arXiv OpenURL
Hirsch, Francis; Yor, Marc On the Mellin transforms of the perpetuity and the remainder variables associated to a subordinator. (English) Zbl 1287.60096 Bernoulli 19, No. 4, 1350-1377 (2013). Reviewer: Sophia L. Kalpazidou (Thessaloniki) MSC: 60J60 60J55 PDF BibTeX XML Cite \textit{F. Hirsch} and \textit{M. Yor}, Bernoulli 19, No. 4, 1350--1377 (2013; Zbl 1287.60096) Full Text: DOI arXiv Euclid OpenURL
Patie, P. Asian options under one-sided Lévy models. (English) Zbl 1266.91109 J. Appl. Probab. 50, No. 2, 359-373 (2013). MSC: 91G20 60G51 PDF BibTeX XML Cite \textit{P. Patie}, J. Appl. Probab. 50, No. 2, 359--373 (2013; Zbl 1266.91109) Full Text: DOI Euclid OpenURL
Kuznetsov, A.; Pardo, J. C. Fluctuations of stable processes and exponential functionals of hypergeometric Lévy processes. (English) Zbl 1268.60060 Acta Appl. Math. 123, No. 1, 113-139 (2013). Reviewer: Mathias Trabs (Berlin) MSC: 60G51 60G52 PDF BibTeX XML Cite \textit{A. Kuznetsov} and \textit{J. C. Pardo}, Acta Appl. Math. 123, No. 1, 113--139 (2013; Zbl 1268.60060) Full Text: DOI arXiv OpenURL
Rivero, Víctor Tail asymptotics for exponential functionals of Lévy processes: the convolution equivalent case. (English. French summary) Zbl 1266.60086 Ann. Inst. Henri Poincaré, Probab. Stat. 48, No. 4, 1081-1102 (2012). Reviewer: Marius Iosifescu (Bucureşti) MSC: 60G51 60E99 PDF BibTeX XML Cite \textit{V. Rivero}, Ann. Inst. Henri Poincaré, Probab. Stat. 48, No. 4, 1081--1102 (2012; Zbl 1266.60086) Full Text: DOI arXiv Euclid OpenURL
Haas, Bénédicte; Rivero, Víctor Quasi-stationary distributions and Yaglom limits of self-similar Markov processes. (English) Zbl 1267.60038 Stochastic Processes Appl. 122, No. 12, 4054-4095 (2012). MSC: 60G18 60F05 60G51 PDF BibTeX XML Cite \textit{B. Haas} and \textit{V. Rivero}, Stochastic Processes Appl. 122, No. 12, 4054--4095 (2012; Zbl 1267.60038) Full Text: DOI arXiv OpenURL
Cissé, Mamadou; Patie, Pierre; Tanré, Etienne Optimal stopping problems for some Markov processes. (English) Zbl 1246.60065 Ann. Appl. Probab. 22, No. 3, 1243-1265 (2012). MSC: 60G40 60J60 60J75 PDF BibTeX XML Cite \textit{M. Cissé} et al., Ann. Appl. Probab. 22, No. 3, 1243--1265 (2012; Zbl 1246.60065) Full Text: DOI arXiv Euclid OpenURL
Behme, Anita; Lindner, Alexander Multivariate generalized Ornstein-Uhlenbeck processes. (English) Zbl 1244.60050 Stochastic Processes Appl. 122, No. 4, 1487-1518 (2012). MSC: 60G51 60G10 PDF BibTeX XML Cite \textit{A. Behme} and \textit{A. Lindner}, Stochastic Processes Appl. 122, No. 4, 1487--1518 (2012; Zbl 1244.60050) Full Text: DOI OpenURL
Kyprianou, Andreas E.; Pardo, Juan Carlos An optimal stopping problem for fragmentation processes. (English) Zbl 1253.60056 Stochastic Processes Appl. 122, No. 4, 1210-1225 (2012). Reviewer: Klaus Schürger (Bonn) MSC: 60G40 93E20 60G51 60J25 PDF BibTeX XML Cite \textit{A. E. Kyprianou} and \textit{J. C. Pardo}, Stochastic Processes Appl. 122, No. 4, 1210--1225 (2012; Zbl 1253.60056) Full Text: DOI arXiv OpenURL
Patie, Pierre Law of the absorption time of some positive self-similar Markov processes. (English) Zbl 1241.60020 Ann. Probab. 40, No. 2, 765-787 (2012). MSC: 60G18 60E07 60G51 33E30 60J25 PDF BibTeX XML Cite \textit{P. Patie}, Ann. Probab. 40, No. 2, 765--787 (2012; Zbl 1241.60020) Full Text: DOI arXiv Euclid OpenURL
Kuznetsov, A. On the distribution of exponential functionals for Lévy processes with jumps of rational transform. (English) Zbl 1234.60054 Stochastic Processes Appl. 122, No. 2, 654-663 (2012). MSC: 60G51 91G80 PDF BibTeX XML Cite \textit{A. Kuznetsov}, Stochastic Processes Appl. 122, No. 2, 654--663 (2012; Zbl 1234.60054) Full Text: DOI arXiv OpenURL
Chaumont, Loïc; Kyprianou, Andreas; Pardo, Juan Carlos; Rivero, Víctor Fluctuation theory and exit systems for positive self-similar Markov processes. (English) Zbl 1241.60019 Ann. Probab. 40, No. 1, 245-279 (2012). Reviewer: Zakhar Kabluchko (Ulm) MSC: 60G18 60G17 60J55 60G51 PDF BibTeX XML Cite \textit{L. Chaumont} et al., Ann. Probab. 40, No. 1, 245--279 (2012; Zbl 1241.60019) Full Text: DOI arXiv OpenURL
Kulik, Rafał; Palmowski, Zbigniew Tail behaviour of the area under a random process, with applications to queueing systems, insurance and percolations. (English) Zbl 1275.60037 Queueing Syst. 68, No. 3-4, 275-284 (2011). MSC: 60G07 60K25 PDF BibTeX XML Cite \textit{R. Kulik} and \textit{Z. Palmowski}, Queueing Syst. 68, No. 3--4, 275--284 (2011; Zbl 1275.60037) Full Text: DOI arXiv OpenURL
Haas, Bénédicte; Miermont, Grégory Self-similar scaling limits of non-increasing Markov chains. (English) Zbl 1263.92034 Bernoulli 17, No. 4, 1217-1247 (2011). Reviewer: Valentin Topchii (Omsk) MSC: 92D15 60J20 60F17 60G50 PDF BibTeX XML Cite \textit{B. Haas} and \textit{G. Miermont}, Bernoulli 17, No. 4, 1217--1247 (2011; Zbl 1263.92034) Full Text: DOI arXiv OpenURL
Fasen, Vicky Asymptotic results for sample autocovariance functions and extremes of integrated generalized Ornstein-Uhlenbeck processes. (English) Zbl 1462.60040 Bernoulli 16, No. 1, 51-79 (2010). MSC: 60G10 60G70 62E20 62M10 PDF BibTeX XML Cite \textit{V. Fasen}, Bernoulli 16, No. 1, 51--79 (2010; Zbl 1462.60040) Full Text: DOI arXiv OpenURL
Goldschmidt, Christina; Haas, Bénédicte Behavior near the extinction time in self-similar fragmentations. I: The stable case. (English) Zbl 1214.60012 Ann. Inst. Henri Poincaré, Probab. Stat. 46, No. 2, 338-368 (2010). Reviewer: Nijole Kalinauskaitė (Vilnius) MSC: 60G18 60G52 60J25 PDF BibTeX XML Cite \textit{C. Goldschmidt} and \textit{B. Haas}, Ann. Inst. Henri Poincaré, Probab. Stat. 46, No. 2, 338--368 (2010; Zbl 1214.60012) Full Text: DOI arXiv EuDML OpenURL
Haas, Bénédicte Asymptotic behavior of solutions of the fragmentation equation with shattering: an approach via self-similar Markov processes. (English) Zbl 1193.60054 Ann. Appl. Probab. 20, No. 2, 382-429 (2010). Reviewer: A. Świerniak (Gliwice) MSC: 60G18 82C40 60J25 82C21 60K99 60G57 60G35 PDF BibTeX XML Cite \textit{B. Haas}, Ann. Appl. Probab. 20, No. 2, 382--429 (2010; Zbl 1193.60054) Full Text: DOI arXiv OpenURL
Kella, Offer; Yor, Marc A new formula for some linear stochastic equations with applications. (English) Zbl 1196.60122 Ann. Appl. Probab. 20, No. 2, 367-381 (2010). Reviewer: Nikolaos Halidias (Athens) MSC: 60H20 60G51 60K30 PDF BibTeX XML Cite \textit{O. Kella} and \textit{M. Yor}, Ann. Appl. Probab. 20, No. 2, 367--381 (2010; Zbl 1196.60122) Full Text: DOI arXiv OpenURL
Lijoi, Antonio; Prünster, Igor Distributional properties of means of random probability measures. (English) Zbl 1190.62056 Stat. Surv. 3, 47-95 (2009). MSC: 62F15 62G99 PDF BibTeX XML Cite \textit{A. Lijoi} and \textit{I. Prünster}, Stat. Surv. 3, 47--95 (2009; Zbl 1190.62056) Full Text: DOI OpenURL
Freund, F.; Möhle, M. On the number of allelic types for samples taken from exchangeable coalescents with mutation. (English) Zbl 1202.92061 Adv. Appl. Probab. 41, No. 4, 1082-1101 (2009). Reviewer: Claudi Alsina (Barcelona) MSC: 92D15 60C05 60F05 05C05 05C90 PDF BibTeX XML Cite \textit{F. Freund} and \textit{M. Möhle}, Adv. Appl. Probab. 41, No. 4, 1082--1101 (2009; Zbl 1202.92061) Full Text: DOI arXiv OpenURL
Patie, Pierre Law of the exponential functional of one-sided Lévy processes and Asian options. (English. Abridged French version) Zbl 1162.60015 C. R., Math., Acad. Sci. Paris 347, No. 7-8, 407-411 (2009). MSC: 60G51 91G20 60E05 91G80 PDF BibTeX XML Cite \textit{P. Patie}, C. R., Math., Acad. Sci. Paris 347, No. 7--8, 407--411 (2009; Zbl 1162.60015) Full Text: DOI arXiv OpenURL
Lindner, Alexander; Sato, Ken-iti Continuity properties and infinite divisibility of stationary distributions of some generalized Ornstein-Uhlenbeck processes. (English) Zbl 1173.60007 Ann. Probab. 37, No. 1, 250-274 (2009). Reviewer: F. W. Steutel (Eindhoven) MSC: 60E07 60G10 60G30 PDF BibTeX XML Cite \textit{A. Lindner} and \textit{K.-i. Sato}, Ann. Probab. 37, No. 1, 250--274 (2009; Zbl 1173.60007) Full Text: DOI arXiv OpenURL
Endo, Kotaro; Matsui, Muneya The stationarity of multidimensional generalized Ornstein-Uhlenbeck processes. (English) Zbl 1283.60067 Stat. Probab. Lett. 78, No. 14, 2265-2272 (2008). MSC: 60G10 60G51 60H05 60J25 PDF BibTeX XML Cite \textit{K. Endo} and \textit{M. Matsui}, Stat. Probab. Lett. 78, No. 14, 2265--2272 (2008; Zbl 1283.60067) Full Text: DOI arXiv OpenURL
Bourgade, P.; Hughes, C. P.; Nikeghbali, A.; Yor, M. The characteristic polynomial of a random unitary matrix: a probabilistic approach. (English) Zbl 1155.15025 Duke Math. J. 145, No. 1, 45-69 (2008). Reviewer: Václav Burjan (Praha) MSC: 15B52 60F05 60F15 PDF BibTeX XML Cite \textit{P. Bourgade} et al., Duke Math. J. 145, No. 1, 45--69 (2008; Zbl 1155.15025) Full Text: DOI arXiv OpenURL
Iksanov, Alex; Möhle, Martin On the number of jumps of random walks with a barrier. (English) Zbl 1157.60041 Adv. Appl. Probab. 40, No. 1, 206-228 (2008). Reviewer: Aurel Spătaru (Bucureşti) MSC: 60G50 60F05 05C05 60E07 PDF BibTeX XML Cite \textit{A. Iksanov} and \textit{M. Möhle}, Adv. Appl. Probab. 40, No. 1, 206--228 (2008; Zbl 1157.60041) Full Text: DOI OpenURL
Singh, Arvind Rates of convergence of a transient diffusion in a spectrally negative Lévy potential. (English) Zbl 1130.60084 Ann. Probab. 36, No. 1, 279-318 (2008). MSC: 60J60 PDF BibTeX XML Cite \textit{A. Singh}, Ann. Probab. 36, No. 1, 279--318 (2008; Zbl 1130.60084) Full Text: DOI arXiv Euclid OpenURL
Rivero, Víctor Recurrent extensions of self-similar Markov processes and Cramér’s condition. II. (English) Zbl 1132.60056 Bernoulli 13, No. 4, 1053-1070 (2007). MSC: 60J25 60G18 PDF BibTeX XML Cite \textit{V. Rivero}, Bernoulli 13, No. 4, 1053--1070 (2007; Zbl 1132.60056) Full Text: DOI arXiv Euclid OpenURL
Kostadinova, Radostina Optimal investment for insurers when the stock price follows an exponential Lévy process. (English) Zbl 1193.91141 Insur. Math. Econ. 41, No. 2, 250-263 (2007). MSC: 91G10 91B30 91G80 60K10 60H10 60H30 PDF BibTeX XML Cite \textit{R. Kostadinova}, Insur. Math. Econ. 41, No. 2, 250--263 (2007; Zbl 1193.91141) Full Text: DOI OpenURL
Berg, Christian On powers of Stieltjes moment sequences. II. (English) Zbl 1111.44001 J. Comput. Appl. Math. 199, No. 1, 23-38 (2007). Reviewer: S. L. Kalla (Kuwait) MSC: 44A60 60E07 33C45 PDF BibTeX XML Cite \textit{C. Berg}, J. Comput. Appl. Math. 199, No. 1, 23--38 (2007; Zbl 1111.44001) Full Text: DOI OpenURL
Chou, Ching-Sung; Lin, Hsien-Jen Asian options with jumps. (English) Zbl 1122.91056 Stat. Probab. Lett. 76, No. 18, 1983-1993 (2006). Reviewer: Ilya S. Molchanov (Bern) MSC: 91B70 91B28 60G51 PDF BibTeX XML Cite \textit{C.-S. Chou} and \textit{H.-J. Lin}, Stat. Probab. Lett. 76, No. 18, 1983--1993 (2006; Zbl 1122.91056) Full Text: DOI OpenURL
Möhle, M. On the number of segregating sites for populations with large family sizes. (English) Zbl 1112.92046 Adv. Appl. Probab. 38, No. 3, 750-767 (2006). MSC: 92D15 60H30 60J27 60J20 92D10 60F05 PDF BibTeX XML Cite \textit{M. Möhle}, Adv. Appl. Probab. 38, No. 3, 750--767 (2006; Zbl 1112.92046) Full Text: DOI OpenURL
Gnedin, Alexander; Pitman, Jim; Yor, Marc Asymptotic laws for compositions derived from transformed subordinators. (English) Zbl 1142.60327 Ann. Probab. 34, No. 2, 468-492 (2006). MSC: 60G09 60C05 PDF BibTeX XML Cite \textit{A. Gnedin} et al., Ann. Probab. 34, No. 2, 468--492 (2006; Zbl 1142.60327) Full Text: DOI arXiv Euclid OpenURL
James, Lancelot F. Poisson calculus for spatial neutral to the right processes. (English) Zbl 1091.62012 Ann. Stat. 34, No. 1, 416-440 (2006). MSC: 62F15 62G05 62M99 62N02 PDF BibTeX XML Cite \textit{L. F. James}, Ann. Stat. 34, No. 1, 416--440 (2006; Zbl 1091.62012) Full Text: DOI arXiv OpenURL
Maulik, Krishanu; Zwart, Bert Tail asymptotics for exponential functionals of Lévy processes. (English) Zbl 1090.60046 Stochastic Processes Appl. 116, No. 2, 156-177 (2006). Reviewer: George Stoica (Saint John) MSC: 60G51 PDF BibTeX XML Cite \textit{K. Maulik} and \textit{B. Zwart}, Stochastic Processes Appl. 116, No. 2, 156--177 (2006; Zbl 1090.60046) Full Text: DOI OpenURL
Haas, Bénédicte Equilibrium for fragmentation with immigration. (English) Zbl 1093.60050 Ann. Appl. Probab. 15, No. 3, 1958-1996 (2005). Reviewer: Chengxun Wu (Shanghai) MSC: 60J25 60J55 60B10 82C21 PDF BibTeX XML Cite \textit{B. Haas}, Ann. Appl. Probab. 15, No. 3, 1958--1996 (2005; Zbl 1093.60050) Full Text: DOI arXiv OpenURL
Lindner, Alexander; Maller, Ross Lévy integrals and the stationarity of generalised Ornstein-Uhlenbeck processes. (English) Zbl 1080.60056 Stochastic Processes Appl. 115, No. 10, 1701-1722 (2005). Reviewer: Rózsa Horvàth-Bokor (Budapest) MSC: 60H05 60H30 60J25 60F15 60G10 PDF BibTeX XML Cite \textit{A. Lindner} and \textit{R. Maller}, Stochastic Processes Appl. 115, No. 10, 1701--1722 (2005; Zbl 1080.60056) Full Text: DOI OpenURL
Rivero, Víctor Recurrent extensions of self-similar Markov processes and Cramér’s condition. (English) Zbl 1077.60055 Bernoulli 11, No. 3, 471-509 (2005). Reviewer: Gheorghe Oprişan (Bucureşti) MSC: 60J25 60G18 PDF BibTeX XML Cite \textit{V. Rivero}, Bernoulli 11, No. 3, 471--509 (2005; Zbl 1077.60055) Full Text: DOI OpenURL
Gnedin, Alexander; Pitman, Jim Regenerative composition structures. (English) Zbl 1070.60034 Ann. Probab. 33, No. 2, 445-479 (2005). Reviewer: A. J. Stam (Winsum) MSC: 60G09 60C05 PDF BibTeX XML Cite \textit{A. Gnedin} and \textit{J. Pitman}, Ann. Probab. 33, No. 2, 445--479 (2005; Zbl 1070.60034) Full Text: DOI arXiv OpenURL
Dufresne, Daniel The log-normal approximation in financial and other computations. (English) Zbl 1063.60115 Adv. Appl. Probab. 36, No. 3, 747-773 (2004). Reviewer: George Stoica (Saint John) MSC: 60J65 91B28 PDF BibTeX XML Cite \textit{D. Dufresne}, Adv. Appl. Probab. 36, No. 3, 747--773 (2004; Zbl 1063.60115) Full Text: DOI OpenURL
Litvak, Nelly; van Zwet, Willem R. On the minimal travel time needed to collect \(n\) items on a circle. (English) Zbl 1121.90012 Ann. Appl. Probab. 14, No. 2, 881-902 (2004). MSC: 90B05 60F05 60G51 62E15 PDF BibTeX XML Cite \textit{N. Litvak} and \textit{W. R. van Zwet}, Ann. Appl. Probab. 14, No. 2, 881--902 (2004; Zbl 1121.90012) Full Text: DOI arXiv OpenURL
Guillemin, Fabrice; Robert, Philippe; Zwart, Bert AIMD algorithms and exponential functionals. (English) Zbl 1041.60072 Ann. Appl. Probab. 14, No. 1, 90-117 (2004). Reviewer: János Sztrik (Debrecen) MSC: 60K30 90B18 PDF BibTeX XML Cite \textit{F. Guillemin} et al., Ann. Appl. Probab. 14, No. 1, 90--117 (2004; Zbl 1041.60072) Full Text: DOI OpenURL
Haas, Bénédicte Loss of mass in deterministic and random fragmentations. (English) Zbl 1075.60553 Stochastic Processes Appl. 106, No. 2, 245-277 (2003). MSC: 60J25 60J99 82C21 PDF BibTeX XML Cite \textit{B. Haas}, Stochastic Processes Appl. 106, No. 2, 245--277 (2003; Zbl 1075.60553) Full Text: DOI OpenURL
Szabados, Tamás; Székely, Balázs An exponential functional of random walks. (English) Zbl 1028.60031 J. Appl. Probab. 40, No. 2, 413-426 (2003). MSC: 60F17 60F25 60G50 PDF BibTeX XML Cite \textit{T. Szabados} and \textit{B. Székely}, J. Appl. Probab. 40, No. 2, 413--426 (2003; Zbl 1028.60031) Full Text: DOI arXiv OpenURL
Bertoin, Jean; Yor, Marc On the entire moments of self-similar Markov processes and exponential functionals of Lévy processes. (English) Zbl 1031.60038 Ann. Fac. Sci. Toulouse, VI. Sér., Math. 11, No. 1, 33-45 (2002). Reviewer: Thomas Simon (Évry) MSC: 60G51 PDF BibTeX XML Cite \textit{J. Bertoin} and \textit{M. Yor}, Ann. Fac. Sci. Toulouse, Math. (6) 11, No. 1, 33--45 (2002; Zbl 1031.60038) Full Text: DOI Numdam Numdam EuDML OpenURL
Bhattacharya, Rabi; Thomann, Enrique; Waymire, Edward A note on the distribution of integrals of geometric Brownian motion. (English) Zbl 0990.60083 Stat. Probab. Lett. 55, No. 2, 187-192 (2001). MSC: 60J65 91B28 PDF BibTeX XML Cite \textit{R. Bhattacharya} et al., Stat. Probab. Lett. 55, No. 2, 187--192 (2001; Zbl 0990.60083) Full Text: DOI OpenURL