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math.PR2026
On the excision of Brownian bridge paths
Gabriel Berzunza Ojeda, Ju-Yi Yen
Path transformations are fundamental to the study of Brownian motion and related stochastic processes, offering elegant constructions of the Brownian bridge, meander, and excursion…
math.PR2008
Measuring the "non-stopping timeness" of ends of previsible sets
Ju-Yi Yen, Marc Yor
In this paper, we propose several "measurements" of the "non-stopping timeness" of ends g of previsible sets, such that g avoids stopping times, in an ambiant filtration. We then s…
math.PR2008★ 1 cited
Call option prices based on Bessel processes
Ju-Yi Yen, Marc Yor
As a complement to some recent work by Pal and Protter, "Strict local martingales, bubbles, and no early exercise", we show that the call option prices associated with the Bessel s…