210 citations · 960 across the 60 of their papers we have counts for
67 papers
A guide to Brownian motion and related stochastic processes
Jim Pitman, Marc Yor
This is a guide to the mathematical theory of Brownian motion and related stochastic processes, with indications of how this theory is related to other branches of mathematics, mos…
The maximal drawdown of the Brownian meander
Yueyun Hu, Zhan Shi, Marc Yor
Motivated by evaluating the limiting distribution of randomly biased random walks on trees, we compute the exact value of a negative moment of the maximal drawdown of the standard…
Some explicit formulas for the Brownian bridge, Brownian meander and Bessel process under uniform sampling
Mathieu Rosenbaum, Marc Yor
We show that simple explicit formulas can be obtained for several relevant quantities related to the laws of the uniformly sampled Brownian bridge, Brownian meander and three dimen…
On the law of a triplet associated with the pseudo-Brownian bridge
Mathieu Rosenbaum, Marc Yor
We identify the distribution of a natural triplet associated with the pseudo-Brownian bridge. In particular, for a Brownian motion and its first hitting time of the level…
On the expectation of normalized Brownian functionals up to first hitting times
Romuald Elie, Mathieu Rosenbaum, Marc Yor
Let B be a Brownian motion and T its first hitting time of the level 1. For U a uniform random variable independent of B, we study in depth the distribution of T^{-1/2}B_{UT}, that…
On the Mellin transforms of the perpetuity and the remainder variables associated to a subordinator
Francis Hirsch, Marc Yor
Results about the laws of the perpetuity and remainder variables associated to a subordinator are presented, with particular emphasis on their Mellin transforms, and multiplicative…