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20052022
most citedSome remarks on first passage of Levy processes, the American put and pasting principles

185 citations · 202 across the 10 of their papers we have counts for

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Showing 2017 · math.PRShow all

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math.PR2017

Further studies on square-root boundaries for Bessel processes

Larbi Alili, Hiroyuki Matsumoto

We look at decompositions of perpetuities and apply that to the study of the distributions of hitting times of Bessel processes of two types of square root boundaries. These distri…

math.PR2017

Space and time inversions of stochastic processes and Kelvin transform

Larbi Alili, Loïc Chaumont, Piotr Graczyk +1

Let be a standard Markov process. We prove that a space inversion property of implies the existence of a Kelvin transform of -harmonic, excessive and operator-harmonic f…