16 citations · 48 across the 19 of their papers we have counts for
19 papers · 1 filter
Drawdowns of diffusions
Paavo Salminen, Pierre Vallois
In this paper we give excursion theoretical proofs of Lehoczky's formula (in an extended form allowing a lower bound for the underlying diffusion) for the joint distribution of the…
On a first hit distribution of the running maximum of Brownian motion
Julien Randon-Furling, Paavo Salminen, Pierre Vallois
Let be the running maximum of a standard Brownian motion and . In this note we calculate the joint distributio…
Asymptotic error distribution for the Riemann approximation of integrals driven by fractional Brownian motion
Valentin Garino, Ivan Nourdin, Pierre Vallois
We consider Riemann sum approximations of stochastic integrals with respect to the fractional Browian motion of index . We show the convergence of these schemes at f…
Fractional extreme distributions
Lotfi Boudabsa, Thomas Simon, Pierre Vallois
We consider three classes of linear differential equations on distribution functions, with a fractional order The integer case corresponds to the three classica…
Probability that the maximum of the reflected Brownian motion over a finite interval is achieved by its last zero before
Agnès Lagnoux, Sabine Mercier, Pierre Vallois
We calculate the probability that the maximum of a reflected Brownian motion is achieved on a complete excursion, i.e. where $\ov…
Elements related to the largest complete excursion of a reflected BM stopped at a fixed time. Application to local score
Claudie Chabriac, Agnès Lagnoux, Sabine Mercier +1
Elements related to the largest complete excursion of a reflected BM stopped at a fixed time. Application to local score.