7 citations · 40 across the 29 of their papers we have counts for
35 papers
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…
Occupation times on the legs of a diffusion spider
Paavo Salminen, David Stenlund
We study the joint moments of occupation times on the legs of a diffusion spider. Specifically, we give a recursive formula for the Laplace transform of the joint moments, which ex…
Probabilistic aspects of Jacobi theta functions
Paavo Salminen, Christophe Vignat
In this note we deduce well known modular identities for Jacobi theta functions using the spectral representations associated with the real valued Brownian motion taking values on…
Diffusion spiders: Green kernel, excessive functions and optimal stopping
Jukka Lempa, Ernesto Mordecki, Paavo Salminen
A diffusion spider is a strong Markov process with continuous paths taking values on a graph with one vertex and a finite number of edges (of infinite length). An example is Walsh'…
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…
On occupation times of one-dimensional diffusions
Paavo Salminen, David Stenlund
In this paper we study the moment generating function and the moments of occupation time functionals of one-dimensional diffusions. Assuming, specifically, that the process lives o…