Julian Lowell Coolidge's An introduction to mathematical probability PDF

By Julian Lowell Coolidge

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Some Preliminaries on Bessel Processes The information about Bessel processes which is presented in this section may be found in Yor [15] and Pitman and Yor [9]. 1. ~). 28 2. 2. +) of p(v), when starting from a. +) and we denote by {R t = a(Rs,s;£ t),t ~ O} the canonical filtration. Using Girsanov's theorem, it is easily shown that, for v ~ 0, the mutual absolute continuity relation holds, for a > 0: v PaiR, (Rt ) exp (v2 rt dS) -2 io R; . b) In the case v < 0, the Bessel process (p~), u ~ 0) reaches 0, hence the law P:IR , cannot be equivalent to P~IR,; nonetheless we have, for v < 0, and a> 0, v PaIR,n(t

Loi de l'indice du lacet brownien et distribution de Hartman-Watson. Z. , 53, 71-95 8. Yor, M. (1992). On some exponential functionals of Brownian motion. Adv. App. , 24, 509-53l. Paper [2] in this volume 9. Yor, M. (1989). Une extension markovienne de l'algebre des lois beta-gamma. C. R. Acad. , Paris, Ser. I, 308, 257-260 10. Geman, H. and Yor, M. (1991). Quelques aspects mathematiques du probleme des options asiatiques. See Postscript Postscript #3 a) Reference 10. of this note has not been published as such, but its contents are found in Chapter 6 of: M.

Mp(B,)) n exP(PB,)]. for any n E N, and /-l ~ O. a) We then have the following result. Theorem 1. 1. Let /-l ~ 0, n E N, and the formula 1 00 o dtexp(-o:t)E [(I t dsexPB s ) n 0: >

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An introduction to mathematical probability by Julian Lowell Coolidge

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