3 papers
math.PR2009
Boundary crossing identities for diffusions having the time inversion property
Larbi Alili, Pierre Patie
We review and study a one-parameter family of functional transformations, denoted by , which, in the case , provides a path realization of bridges associa…
math.PR2007
Further results on some singular linear stochastic differential equations
Larbi Alili, Ching-Tang Wu
A class of Volterra transforms, preserving the Wiener measure, with kernels of Goursat type is considered. Such kernels satisfy a self-reproduction property. We provide some result…
math.PR2005
Some remarks on first passage of Levy processes, the American put and pasting principles
L. Alili, A. E. Kyprianou
The purpose of this article is to provide, with the help of a fluctuation identity, a generic link between a number of known identities for the first passage time and overshoot abo…