P. Patie

发表

Representations of the First Hitting Time Density of an Ornstein-Uhlenbeck Process

J. L. Pedersen, L. Alili, P. Patie, 2005 .

Bernstein-gamma functions and exponential functionals of Levy Processes

P. Patie, Mladen Savov, 2016, 1604.05960.

Two-sided exit problem for a Spectrally Negative $\alpha$-Stable Ornstein-Uhlenbeck Process and the Wright's generalized hypergeometric functions

P. Patie, 2007 .

On a gateway between continuous and discrete Bessel and Laguerre processes

L. Miclo, P. Patie, 2018, Annales Henri Lebesgue.

On some First Passage Time Problems Motivated by Financial Applications

P. Patie, 2004 .

Boundary-Crossing Identities for Diffusions Having the Time-Inversion Property

L. Alili, P. Patie, 2009, 0904.2680.

Exponential functional of a new family of Lévy processes and self-similar continuous state branching processes with immigration

P. Patie, 2009 .

On the first crossing times of a Brownian motion and a family of continuous curves

Pierre Patie, L. Alili, P. Patie, 2005 .

Asian Options Under One-Sided Lévy Models

P. Patie, 2013, Journal of Applied Probability.

Spectral projections correlation structure for short-to-long range dependent processes

P. Patie, A. Srapionyan, 2019, European Journal of Applied Mathematics.

Extended Factorizations of Exponential Functionals of Lévy Processes

P. Patie, Mladen Savov, 2011, 1107.0655.

Optimal stopping problems for some Markov processes

Etienne Tanré, P. Patie, Mamadou Cissé, 2011, 1106.3158.

Jacobi processes with jumps as neuronal models: a first passage time analysis

L. Sacerdote, P. Patie, G. D’Onofrio, 2022, 2205.08237.

P. Patie, A. Srapionyan, 2019, Fractional Calculus and Applied Analysis.

Strategic Long-Term Financial Risks: Single Risk Factors

Paul Embrechts, Roger Kaufmann, Pierre Patie, 2005, Comput. Optim. Appl..

Fluctuation theory of continuous-time skip-free downward Markov chains with applications to branching processes with immigration

P. Patie, R. Loeffen, J. Wang, 2022, 2208.14425.

Extended Factorizations of Exponential Functionals of Lévy Processes

P. Patie, Mladen Savov, 2011, 1107.0655.

Infinite divisibility of solutions to some self-similar integro-differential equations and exponential functionals of L\'evy processes

P. Patie, 2006, math/0605453.

Exponential functional of Lévy processes: Generalized Weierstrass products and Wiener–Hopf factorization

P. Patie, Mladen Savov, 2013 .

A new class of solutions to the van Dantzig problem, the Lee-Yang property, and the Riemann hypothesis

T. Konstantopoulos, P. Patie, R. Sarkar, 2022, 2211.16680.

Intertwining Certain Fractional Derivatives

P. Patie, T. Simon, 2011, Potential Analysis.

Purely Excessive Functions and Hitting Times of Continuous-Time Branching Processes

F. Avram, P. Patie, J. Wang, 2018, Methodology and Computing in Applied Probability.

Spectral expansions of non-self-adjoint generalized Laguerre semigroups

P. Patie, Mladen Savov, 2015, Memoirs of the American Mathematical Society.

Strategic Long-Term Financial Risks The One-Dimensional Case

P. Patie, R. Kaufmann, 2001 .

On non-local ergodic Jacobi semigroups: spectral theory, convergence-to-equilibrium and contractivity

Patrick Cheridito, Pierre Patie, Anna Srapionyan, 2019, Journal de l’École polytechnique — Mathématiques.

Extinction Time of Non-Markovian Self-Similar Processes, Persistence, Annihilation of Jumps and the Fréchet Distribution

P. Patie, Mladen Savov, R. Loeffen, 2019, Journal of Statistical Physics.

Extinction Time of Non-Markovian Self-Similar Processes, Persistence, Annihilation of Jumps and the Fréchet Distribution

P. Patie, Mladen Savov, R. Loeffen, 2018, Journal of Statistical Physics.

Intertwining, excursion theory and Krein theory of strings for non-self-adjoint Markov semigroups

P. Patie, Mladen Savov, Yixuan Zhao, 2017, The Annals of Probability.

Submitted to the Annals of Probability INTERTWINING , EXCURSION THEORY AND KREIN THEORY OF STRINGS FOR NON-SELF-ADJOINT MARKOV SEMIGROUPS By

P. Patie, Mladen Savov, Yixuan Zhao, 2018 .

Cauchy Problem of the non-self-adjoint Gauss-Laguerre semigroups and uniform bounds of generalized Laguerre polynomials

P. Patie, Mladen Savov, 2015, 1501.06433.

On Doney’s Striking Factorization of the Arc-Sine Law

L. Chaumont, L. Alili, P. Patie, 2019, A Lifetime of Excursions Through Random Walks and Lévy Processes.

Smoothness of continuous state branching with immigration semigroups

P. Patie, R. Loeffen, M. Chazal, 2018, 1806.00507.

Spectral decomposition of fractional operators and a reflected stable semigroup

P. Patie, Yixuan Zhao, 2016, 1606.04034.

Asian Options Under One-Sided Lévy Models

P. Patie, P. Patie, 2013, Journal of Applied Probability.

A Wiener Hopf type factorization for the exponential functional of

Mladen Savov, J. C. Pardo, P. Patie, 2017 .

Law of the absorption time of some positive self-similar Markov processes

P. Patie, P. Patie, 2009, 0911.1203.

A Ciesielski–Taylor type identity for positive self-similar Markov processes

A. Kyprianou, P. Patie, 2009, Annales de l'Institut Henri Poincaré, Probabilités et Statistiques.

A transformation for Lévy processes with one-sided jumps and applications

Pierre Patie, M. Chazal, A. Kyprianou, 2010, 1010.3819.

ABSOLUTE RUIN IN THE ORNSTEIN-UHLENBECK TYPE RISK MODEL

P. Patie, R. Loeffen, 2010, 1006.2712.

A few remarks on the supremum of stable processes

P. Patie, 2009 .

Law of the exponential functional of one-sided Lévy processes and Asian options

Pierre Patie, P. Patie, 2009, Comptes Rendus Mathematique.

q-Invariant Functions for Some Generalizations of the Ornstein-Uhlenbeck Semigroup

P. Patie, P. Patie, 2008, 0801.2111.

Law of the exponential functional of a new family of one-sided Levy processes via self-similar continuous state branching processes with immigration and the Wright hypergeometric functions

P. Patie, 2007, 0712.1115.

On the joint law of the L1 and L2 norms of a 3-dimensional Bessel bridge

L. Alili, P. Patie, 2007 .

Infinitely Divisibility of Solutions of Some Semi-stable Integro-differential Equations and Exponential Functionals of L ´ Evy Processes

P. Patie, 2006 .

On a martingale associated to generalized Ornstein-Uhlenbeck processes and an application to finance $

Pierre Patie, P. Patie, 2005 .

ON THE FIRST PASSAGE TIMES OF GENERALIZED ORNSTEIN-UHLENBECK PROCESSES

P. Patie, 2022 .

Purely Excessive Functions and Hitting Times of Continuous-Time Branching Processes

F. Avram, P. Patie, J. Wang, 2019 .

Non-local heat equation with moving boundary and curve-crossing of delayed Brownian motion

P. Patie, G. Ascione, Bruno Toaldo, 2022, 2203.09850.

First passage times over stochastic boundaries for subdiffusive processes

P. Patie, R. Loeffen, C. Constantinescu, 2019, 1904.03168.

First exit time probability for multidimensional diffusions: A PDE-based approach

Pierre Patie, P. Patie, C. Winter, 2008 .

Boundary crossing identities for Brownian motion and some nonlinear ode’s

L. Alili, P. Patie, 2012, 1211.2222.

Analysis of non-reversible Markov chains via similarity orbits

Michael C.H. Choi, Pierre Patie, Michael C. H. Choi, 2019, Combinatorics, Probability and Computing.

Skip-free Markov chains

Michael C. H. Choi, P. Patie, 2019, Transactions of the American Mathematical Society.

The log-Lévy moment problem via Berg–Urbanik semigroups

P. Patie, A. Vaidyanathan, 2018, Studia Mathematica.

Option Pricing in a One-Dimensional Affine Term Structure Model via Spectral Representations

P. Patie, M. Chazal, R. Loeffen, 2018, SIAM J. Financial Math..

On interweaving relations

L. Miclo, P. Patie, 2019, Journal of Functional Analysis.

A spectral theoretical approach for hypocoercivity applied to some degenerate hypoelliptic, and non-local operators

P. Patie, A. Vaidyanathan, 2019, Kinetic & Related Models.

Turán Inequalities and Complete Monotonicity for a Class of Entire Functions

P. Patie, C. Bartholmé, 2021, Analysis Mathematica.

PR ] 3 0 O ct 2 01 9 On interweaving relations

L. Miclo, P. Patie, 2019 .

Non‐classical Tauberian and Abelian type criteria for the moment problem

P. Patie, A. Vaidyanathan, 2018, Mathematische Nachrichten.

A Wiener–Hopf type factorization for the exponential functional of Lévy processes

P. Patie, Mladen Savov, J. Pardo, 2011, J. Lond. Math. Soc..

A WIENER-HOPF TYPE FACTORIZATION FOR THE EXPONENTIAL FUNCTIONAL OF L ´

P. Patie, Mladen Savov, J. Pardo, 2012 .

Optimal stopping problems for some Markov processes

P. Patie, Mamadou Ciss'e, Etienne Tanr'e, 2011, 1106.3158.

Financial Valuation and Risk Management Working Paper No . 622 Optimal Stopping Problems for Some Markov Processes

Etienne Tanré, P. Patie, Mamadou Cissé, 2010 .

Risk‐neutral pricing techniques and examples

R. Jarrow, P. Patie, A. Srapionyan, 2021, Mathematical Finance.

Cauchy problem of the non-self-adjoint Gauss–Laguerre semigroups and uniform bounds for generalized Laguerre polynomials

P. Patie, Mladen Savov, 2017 .

P. Patie, Rohan Sarkar, 2023, Proceedings of the London Mathematical Society.