Parisian times for linear diffusions

Keywords: diffusion coefficient estimation, observation at stopping times, consistent se- quence of estimators, local asymptotic mixed normality, asymptotic variance, optimal

Keywords: Branching Brownian motion; Galton–Watson process; Briot–Bouquet equation; FKPP equation; Travelling wave; Singularity analysis of generating

Keywords: Diffusion process; Recurrence; Additive functionals; Ergodic theorem; Polynomial convergence; Hitting times; Kac formula;..

Section 2 sets out some definitions and notations, Section 3 derives the density of the two- sided Parisian stopping time, Section 4 gives the result for the asymptotic tail

Abstract: Under the hypothesis of convergence in probability of a sequence of c` adl` ag processes (X n ) n to a c` adl` ag process X, we are interested in the convergence

As for the method of random walk on spheres [3] and squares [4, 5], this method allows one to simulate the first exit time and exit position from a general domain D?. The idea is

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The abscissa of convergence of the Laplace transforms of the double barrier Parisian option prices computed previously is smaller than (m + σ) 2 /2 (the Laplace transforms of the