Peter Carr, Hélyette Geman, Dilip B. Madan, Marc Yor, “Stochastic Volatility for Lévy Processes”, Mathematical Finance, 13, № 3, 2003, 345
Сергей Н Лобанов, Sergei N Lobanov, “Распределение длины и высоты трендов для броуновского движения со сносом”, ТВП, 50, № 4, 2005, 783
Андрей Александрович Каменов, Andrey Aleksandrovich Kamenov, “Башелье-версия русского опциона на конечном интервале”, ТВП, 53, № 3, 2008, 576
Peter Grandits, Maike Klein, “Ruin probability in a two-dimensional model with correlated Brownian motions”, Scandinavian Actuarial Journal, 2021, № 5, 2021, 362
Jacques du Toit, Goran Peskir, “Selling a stock at the ultimate maximum”, Ann. Appl. Probab., 19, № 3, 2009
Bangwon Ko, Elias S.W. Shiu, Li Wei, “Pricing maturity guarantee with dynamic withdrawal benefit”, Insurance: Mathematics and Economics, 47, № 2, 2010, 216
Maciej Wiśniewolski, “Integral functionals under the excursion measure”, J. Appl. Probab., 57, № 1, 2020, 137
Mathieu ROSENBAUM, Marc YOR, “Random scaling and sampling of Brownian motion”, J. Math. Soc. Japan, 67, № 4, 2015
K. Glover, G. Peskir, F. Samee, “The British Russian Option”, Stochastics, 83, № 4-6, 2011, 315
Runhuan Feng, “Stochastic Integral Representations of the Extrema of Time-homogeneous Diffusion Processes”, Methodol Comput Appl Probab, 18, № 3, 2016, 691