Download this PDF file Fullscreen Fullscreen Off
References
- K. D. Elworthy, X-M. Li and M. Yor, On the tails of the supremum and the quadratic variation of strictly local martingales, S'em. Prob. XXXI, Lecture Notes Math., 1655, 113-125, Springer-Verlag, Berlin, 1997. Math. Review 99b:60057
- K. D. Elworthy, X-M. Li and M. Yor, The importance of strict local martingales, applications to radial Ornstein-Uhlenbeck processes, to appear in Prob. Th. Rel. Fields, 1999. Math. Review number not available.
- A. Erdelyi, W. Magnus, F. Oberhettinger,F. G. Tricomi, Tables of Integral Transforms,I, McGraw-Hill, New York, 1954. Math. Review 15,868a
- W. Feller, The parabolic differential equations and the associated semi-groups of transformations, Ann. Math. 55, (1952) 468-519. Math. Review 13,948a.
- D. P. Kennedy, Some martingales related to cumulative sum tests and single-server queues, Stoch. Proc. Appl. 4, (1976) 261-269. Math. Review 54 #8846.
- J. Kent, Some probabilistic properties of Bessel functions, Ann. Prob. 6, (1978) 760-770. Math. Review 58 #18750
- T. G. Kurtz, Martingale problems for conditional distributions of Markov processes, Elect. J. Prob. 3, (1998) 1-29. Math. Review 1 637 085.
- N. N. Lebedev, Special Functions and their Applications, Dover, New York, 1972. Math. Review 50 #2568.
- H. Matsumoto and M. Yor, A version of Piman's $2M-X$ theorem for geometric Brownian motions, to appear in C. R. Acad. Sci. Paris, Serie I 328, (1999) 1067-1074. Math. Review number not available.
- H. P. McKean, Jr., Stochastic Integrals, Academic Press, New York, 1969. Math. Review 40 #947.
- J. W. Pitman and M. Yor, Bessel processes and infinitely divisible laws, Stochastic Integrals, ed. by D.Williams, Lecture Notes Math. 851, 285-370, Springer-Verlag, Berlin, 1981. Math. Review 82j:60149
- D. Revuz and M. Yor, Continuous Martingales and Brownian Motion, 3rd. Ed. Springer-Verlag, Berlin, 1999. Math. Review (for the second edition) 95h:60072.
- L. C. G. Rogers and J. W. Pitman, Markov functions, Ann. Prob. 9, (1981) 573-582. Math. Review 82j:60133
- K. Takaoka, Some remarks on the $L^1$-boundedness and the uniform integrability of continuous martingales, to appear in S'em. Prob. XXXIII, Lecture Notes Math., Springer-Verlag, Berlin, 1999. Math. Review number not available.
- C. Yoeurp, Theoreme de Girsanov generalise et grossissement d'une filtration, Grossissements de filtrations : exemples et applications, Ed. by, Th. Jeulin and M. Yor, Lecture Notes Math. 1118, 172-196, 1985. Math. Review 88h:60104
- M. Yor, Some Aspects of Brownian Motion, Part II : Some Recent Martingale Problems, Birkhauser, Basel, 1997. Math. Review 98e:60140
- S. Watanabe, On time inversion of one-dimensional diffusion processes, Z.W. 31, (1975) 115-124. Math. Review 51 #1983.

This work is licensed under a Creative Commons Attribution 3.0 License.