Pierre Patie
Intertwining
 On interweaving relations with L. Miclo, 2019
 On nonlocal ergodic Jacobi semigroups: spectral theory, convergencetoequilibrium and contractivity with P. Cheridito, A. Srapionyan, A. Vaidyanathan, 2019
 Riskneutral pricing techniques and examples with R. A. Jarrow, A. Srapionyan and Y. Zhao, 2019
 Analysis of nonreversible Markov chains via similarity orbit with M.C.H. Choi, Combinatorics, Probability and Computing, 29p., 2019,
 A spectral approach for hypocoercivity applied to some degenerate hypoelliptic, and nonlocal operators with A. Vaidyanathan, Kinet. Relat. Mod., 2019
 On intertwining relations between Ehrenfest, Yule and OrnsteinUhlenbeck processes with L. Miclo, Sém. Prob. LNM, 21p., 2019

Spectral expansions of nonselfadjoint generalized Laguerre semigroups
with M.
Savov, Mem. Amer. Math. Soc. 179p., 2019
 On a gateway between continuous
and discrete Bessel and Laguerre processes with L. Miclo, Annales Henri Lebesgue, 2, 5998, 2019

Intertwining, excursion theory and Krein theory of strings for nonselfadjoint Markov semigroups
with M.
Savov and with Y. Zhao, Ann. Probab. , 47, No. 5, 32313277, 2019
 Skipfree Markov chains with M.C.H. Choi,
Trans. Amer. Math. Soc., 371(10), 73017342, 2019

Bernsteingamma functions and exponential functionals of Lévy Processes
with M.
Savov,
Electron. J. Probab., 23(75), 101 pp., 2018
 Spectral decomposition of fractional operators and a reflected stable semigroup with Y. Zhao,
J. Differ. Equations 262(3):16901719, 2017
 Cauchy problem of the nonselfadjoint GaussLaguerre semigroups and uniform
bounds of generalized Laguerre polynomials with M.
Savov,
J. Spectr. Theory 7:797846, 2017

Intertwining certain fractional operators, with T. Simon
Potent. Anal., 36: 569587, 2012
Spectral theory
 On nonlocal ergodic Jacobi semigroups: spectral theory, convergencetoequilibrium and contractivity with P. Cheridito, A. Srapionyan, A. Vaidyanathan, 2019
 A spectral approach for hypocoercivity applied to some degenerate hypoelliptic, and nonlocal operators with A. Vaidyanathan, Kinet. Relat. Mod., 2019
 Selfsimilar Cauchy problems and generalized MittagLeffler functions with A. Srapionyan, 2019
 Spectral projections correlation structure for shorttolong range dependent processes with A. Srapionyan, 2019
 Analysis of nonreversible Markov chains via similarity orbit with M.C.H. Choi, 2019,

Spectral expansions of nonselfadjoint generalized Laguerre semigroups, 2019
with M.
Savov, Mem. Amer. Math. Soc. 179p., 2019

Intertwining, excursion theory and Krein theory of strings for nonselfadjoint Markov semigroups
with M.
Savov and with Y. Zhao, Ann. Probab. , 47, No. 5, 32313277, 2019
 Skipfree Markov chains with M.C.H. Choi,
Trans. Amer. Math. Soc., 371(10), 73017342, 2019
 Smoothness of continuous state branching with immigration semigroups with M. Chazal and R.L. Loeffen
J. Math. Anal. Appl. 459(2):619660, 2018
 Spectral decomposition of fractional operators and a reflected stable semigroup with Y. Zhao,
J. Differ. Equations 262(3):16901719, 2017
 Cauchy problem of the nonselfadjoint GaussLaguerre semigroups and uniform
bounds of generalized Laguerre polynomials with M.
Savov,
J. Spectr. Theory 7:797846, 2017
Convergence to equilibrium
 On interweaving relations with L. Miclo, 2019
 A spectral approach for hypocoercivity applied to some degenerate hypoelliptic, and nonlocal operators with A. Vaidyanathan, Kinet. Relat. Mod., 2019
 On nonlocal ergodic Jacobi semigroups: spectral theory, convergencetoequilibrium and contractivity with P. Cheridito, A. Srapionyan, A. Vaidyanathan, 2019
 Analysis of nonreversible Markov chains via similarity orbit with M.C.H. Choi, 2019,

Spectral expansions of nonselfadjoint generalized Laguerre semigroups, 2019
with M.
Savov, Mem. Amer. Math. Soc. 179p., 2019
 Skipfree Markov chains with M.C.H. Choi, 2019
Trans. Amer. Math. Soc., 371(10), 73017342, 2019
First passage time problems
 First passage times over stochastic boundaries for subdiffusive processes with C. Constantinescu and R.L. Loeffen, 2019
 Extinction time of nonMarkovian selfsimilar processes, persistence, annihilation of jumps and the Fréchet distribution with R.L. Loeffen and M.
Savov, J. Stat. Phys. 175(5), pp 1022–1041, 2019
 Skipfree Markov chains with M.C.H. Choi,
Trans. Amer. Math. Soc., 371(10), 73017342, 2019

Purely excessive functions and hitting times of continuoustime branching processes with F.
Avram and with J. Wang, Methodol. Comput. Appl. Probab., 21:391399, 2019
 Boundary crossing identities for Brownian motion
and some
nonlinear
ode's with L.
Alili, Proc. Amer. Math. Soc. 142, 38113824, 2014
 Law of the
absorption time of positive selfsimilar Markov processes,
Ann. Probab.,
40(2): 765787, 2012
 Optimal
stopping problems for some Markov processes, with M. Cissé
and E. Tanré,
Ann. Appl. Probab., 22(3): 1243–1265, 2012
 A
CiesielskiTaylor type identity for positive selfsimilar Markov
processes, with A.E. Kyprianou
Ann. Inst. H. Poincaré Probab. Statist., 47(3):917–928,
2011

Boundary crossing identities for diffusions having the time inversion
property,
with L.
Alili,
J. Theoret. Probab., (23): 65–84, 2010
 Infinite
divisibility
of solutions to some selfsimilar integrodifferential equations and
exponential functionals of Lévy processes,
Ann. Inst. H. Poincaré Prob.. Stat., 45
(3):667684, 2009
 A few remarks
on the supremum of stable processes
Statist. Probab. Lett., 79:11251128, 2009
 qinvariant
functions for some generalizations of the OrnsteinUhlenbeck semigroup,
ALEA Lat. Am. J. Probab. Math. Stat.,4:3143, 2008

First exit time
probabilities for multidimensional diffusion: A PDEbased approach, with C. Winter)
J. Comput. Appl. Math., 222(1):4353, 2008
 On the joint
law of the L^{1} and L^{2} norms of a 3dimensional
Bessel bridge, with
L. Alili
Séminaire de Probabilités XL:247264, Lecture Notes in
Math., 1899, Springer, Berlin, 2007

Twosided exit
problem for a spectrally negative αstable OrnsteinUhlenbeck process
and the Wright's generalized hypergeometric functions,
Elect. Com. Prob.,12:146160, 2007
 Representations
of the first hitting time density of an OrnsteinUhlenbeck process,
with L.
Alili and J.L.
Pedersen,
Stochastic Models, 21(4):967980, 2005
 Sur les
premiers instants de croissement du mouvement brownien et d'une famille
de courbes continues with L.
Alili
C. R. Acad. Sci. Paris Sér. I Math., 340(3):225228,
2005
Exponential functional of Lévy processes
 On Doney's striking factorization of the arcsine law with L. Alili, C. Bartholmé, L. Chaumont, M. Savov and S. Vakeroudis, 2019

Spectral expansions of nonselfadjoint generalized Laguerre semigroups
with M.
Savov, Mem. Amer. Math. Soc. 179p., 2019

Bernsteingamma functions and exponential functionals of Lévy Processes
with M.
Savov,
Electron. J. Probab., 23(75), 101 pp., 2018

Exponential functionals of Lévy processes: generalized Weierstrass products and WienerHopf factorization,
with M.
Savov,
C. R. Math. Acad. Sci. Paris, 351, no. 910,
393396, 2013
 Law of the
absorption time of positive selfsimilar Markov processes,
Ann. Probab.,
40(2): 765787, 2012

Extended factorizations of exponential functionals of Lévy processes,
with M.
Savov Electron. J. Probab., 17(38): 122, 2012
 A WienerHopf
type factorization for the exponential functional of Lévy processes
with J.C.
Pardo and M. Savov
J. London Math. Soc., 86(3): 930956, 2012
 A refined
factorization of the exponential law
Bernoulli, 17(2):814826, 2011

Exponential functional of a new family of Lévy processes and
selfsimilar continuous state
branching processes with immigration,
Bull. Sci. Math., 133(4):355382, 2009
 Law of the
exponential functional of onesided Lévy processes and Asian options, C. R. Acad. Sci. Paris, Ser. I ,347:407–411, 2009
 Infinite
divisibility
of solutions to some selfsimilar integrodifferential equations and
exponential functionals of Lévy processes,
Ann. Inst. H. Poincaré Prob.. Stat., 45
(3):667684, 2009
Financial and insurance mathematics
 Riskneutral pricing techniques and examples with R. A. Jarrow, A. Srapionyan and Y. Zhao, 2019
 Option pricing in a onedimensional affine term structure model via spectral representations with M. Chazal, and R.L. Loeffen
SIAM J Financ. Math., 9(2), 634664, 2018
 Asion options under onesided Lévy
models
J. of Appl. Prob. 50(2), 359373, 2013
 Law of the
exponential functional of onesided Lévy processes and Asian options, C. R. Acad. Sci. Paris, Ser. I ,347:407–411, 2009
 Strategic
LongTerm Financial Risks: The one dimensional case, with P. Embrechts
and R. Kaufmann
Comput. Optim. Appl.,
32(12):6190, 2005
 On a
martingale associated to generalized OrnsteinUhlenbeck processes and
an application to finance Stochastic Process. Appl., 115(4):593607, 2005
 Risk
Management
for Derivatives in Illiquid Markets: A Simulation Study,
with R. Frey,
Advances in Finance and Stochastics, 137159,
Springer, Berlin, 2002
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