Browse by: Author name - Classification - Keywords - Nature

12 matches found
XV: 17, 251-258, LNM 850 (1981)
PITMAN, James W.
A note on $L_2$ maximal inequalities (Martingale theory)
This paper contains a $L^2$ inequality between two processes $(X_n,M_n)$ under assumptions which (if $X$ is a martingale) apply to $M_n=\sup_{m\le n} |X_m|$, and to other interesting cases as well. In particular, Doob's inequality is valid for the larger process $\sup_{m\le n} X_m^+ +\sup_{m\le n} X_m^-$
Keywords: Maximal inequality, Doob's inequality
Nature: Original
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XXI: 20, 289-302, LNM 1247 (1987)
PITMAN, James W.
Stationary excursions
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XXIII: 20, 239-247, LNM 1372 (1989)
NEVEU, Jacques; PITMAN, James W.
Renewal property of the extrema and tree property of the excursion of a one-dimensional Brownian motion
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XXIII: 21, 248-257, LNM 1372 (1989)
NEVEU, Jacques; PITMAN, James W.
The branching process in a Brownian excursion
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XXIII: 23, 275-293, LNM 1372 (1989)
BARLOW, Martin T.; PITMAN, James W.; YOR, Marc
On Walsh's Brownian motions
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XXIII: 24, 294-314, LNM 1372 (1989)
BARLOW, Martin T.; PITMAN, James W.; YOR, Marc
Une extension multidimensionnelle de la loi de l'arc sinus
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XXXI: 27, 272-286, LNM 1655 (1997)
PITMAN, James W.; YOR, Marc
On the lengths of excursions of some Markov processes
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XXXI: 28, 287-305, LNM 1655 (1997)
PITMAN, James W.; YOR, Marc
On the relative lengths of excursions derived from a stable subordinator
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XXXIII: 20, 388-394, LNM 1709 (1999)
PITMAN, James W.
The distribution of local times of a Brownian bridge (Brownian motion)
Several useful identities for the one-dimensional marginals of local times of Brownian bridges are derived. This is a variation and extension on the well-known joint law of the maximum and the value of Brownian motion at a given time
Comment: Useful references are Borodin,Russian Math. Surveys (1989) and the book Brownian motion and stochastic calculus by Karatzas-Shrieve (Springer, 1991)
Keywords: Local times, Brownian bridge
Nature: Original
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XXXIX: 14, 269-303, LNM 1874 (2006)
ALDOUS, David; PITMAN, James W.
Two recursive decompositions of Brownian bridge related to the asymptotics of random mappings

XLVII: 06, 49-88, LNM 2137 (2015)
PITMAN, Jim; TANG, Wenpin
Patterns in Random Walks and Brownian Motion
Nature: Original
XLVII: 12, 219-225, LNM 2137 (2015)
PITMAN, Jim
Martingale Marginals Do Not Always Determine Convergence
Nature: Original