67 citations · 94 across the 3 of their papers we have counts for
3 papers
math.PR2009★ 67 cited
Markovian bridges: Weak continuity and pathwise constructions
Loïc Chaumont, Gerónimo Uribe Bravo
A Markovian bridge is a probability measure taken from a disintegration of the law of an initial part of the path of a Markov process given its terminal value. As such, Markovian b…
math.PR2008★ 27 cited
Fluctuation theory and exit systems for positive self-similar Markov processes
Loïc Chaumont, Andreas Kyprianou, Juan Carlos Pardo +1
For a positive self-similar Markov process, X, we construct a local time for the random set, , of times where the process reaches its past supremum. Using this local time we des…
math.PR2006
The lower envelope of positive self-similar Markov processes
Loïc Chaumont, Juan-Carlos Pardo
We establish integral tests and laws of the iterated logarithm for the lower envelope of positive self-similar Markov processes at 0 and . Our proofs are based on the Lamp…