103 citations · 180 across the 13 of their papers we have counts for
14 papers · 1 filter
Further examples of explicit Krein representations of certain subordinators
Catherine Donati-Martin, Marc Yor
In a previous paper, we have shown that the gamma subordinators may be represented as inverse local times of certain diffusions. In the present paper, we give such representations…
Equivalent and absolutely continuous measure changes for jump-diffusion processes
Patrick Cheridito, Damir Filipovic, Marc Yor
We provide explicit sufficient conditions for absolute continuity and equivalence between the distributions of two jump-diffusion processes that can explode and be killed by a pote…
Some explicit Krein representations of certain subordinators, including the Gamma process
Catherine Donati-Martin, Marc Yor
We give a representation of the Gamma subordinator as a Krein functional of Brownian motion, using the known representations for stable subordinators and Esscher transforms. In par…
Identities in law between quadratic functionals of bivariate Gaussian processes, through Fubini theorems and symmetric projections
Giovanni Peccati, Marc Yor
We present three new identities in law for quadratic functionals of conditioned bivariate Gaussian processes. In particular, our results provide a two-parameter generalization of a…
Tanaka formula for symmetric Lévy processes
Paavo Salminen, Marc Yor
Starting from the potential theoretic definition of the local times of a Markov process - when these exist - we obtain a Tanaka formula for the local times of symmetric Lévy proces…
Some Connections Between (Sub)Critical Branching Mechanisms and Bernstein Functions
Jean Bertoin, Bernard Roynette, Marc Yor
We describe some connections, via composition, between two functional spaces: the space of (sub)critical branching mechanisms and the space of Bernstein functions. The functions ${…