Paavo Salminen

Professor of Mathematics
Department of Natural Sciences
Åbo Akademi University
FIN-20500 Åbo

Telephone: +358 2 215 4376 
Telefax: +358 2 215 4865
E-mail: firstname.surname at

List of publications

Recent Articles:

Ferrari, G., Salminen, P.: Irreversible Investment under LÚvy Uncertainty: an Equation for the Optimal Boundary. (To appear in Advances of Applied Probability.) (preprint: arXiv:1411.2395)

Salminen, P., Ta, B. Q.: Differentiablity of excessive functions of one-dimensional diffusions and the principle of smooth fit. (To appear in Banach Center Publications.) (preprint: arXiv:1310.1901)

Christensen, S., Salminen, P., Ta, B. Q.: Optimal stopping of strong Markov processes. Stochastic Processes and their Applications, Vol. 123, 1136-1159 (2013). (preprint: arXiv:1203.4726)

Konstantopoulus, T., Kyprianou. A and Salminen, P.: On the excursions of reflected local time processes and stochastic fluid queues. New Frontiers in Applied Probability - A Festschrift for Soeren Asmussen, eds. P. Glynn, T. Mikosch, T. Rolski. Journal of Applied Probability, Spec. Vol. 48A, 79-98. Applied Probability Trust (2011). (preprint: arXiv:1006.2120)

Salminen, P.: Optimal stopping, Appell polynomials and Wiener-Hopf factorization. Stochastics: An International Journal of Probability and Stochastic Processes, Vol. 83(4-6), p. 611-622 (2011).(preprint: arXiv:1002.3746 )

Kaarakka, T., Salminen, P.: On Fractional Ornstein-Uhlenbeck processes.. Communications on Stochastic Analysis, Vol. 5(1), p. 121-133 (2011). (preprint: arXiv:0710.5024)

Salminen, P., Yor, M.: On hitting times of affine boundaries by reflecting Brownian motion and Bessel processes. Periodica Math. Hungar., Vol. 62(1), p. 75-101 (2011). (preprint: arXiv:1012.2038)

Salminen, P., Vallois, P.: On subexponentiality of the LÚvy measure of the diffusion inverse local time; with applications to penalizations. Electr. J. Probab., Vol. 14, p. 1963-1991 (2009). (preprint: arXiv:0805.4353)

Konstantopoulus, T., Kyprianou, A., Salminen, P., Sirvi÷, M.: Analysis of stochastic fluid queues driven by local time processes. Advances of Applied Probability, Vol. 40, p. 1072-1103 (2008). (preprint: arXiv:0709.1456)

Salminen, P., Vallois, P., Yor, M.: On the excursion theory for linear diffusions, . Japanese Journal of Mathematics, Vol. 2, p. 97-127 (2007).) 

Mordecki E., Salminen P.: Optimal stopping of Hunt and Lévy processes. Stochastics: An International Journal of Probability and Stochastic Processes, Vol. 79(3-4), p. 233-251 (2007). (preprint: arXiv:math/0605054)

Khoshnevisan D., Salminen P., Yor M.: A note on a.s. finiteness of perpetual integral functionals of diffusions. ECP, Vol. 11, p. 108-117, 2006. 

Salminen P., Wallin O.: Perpetual integral functionals of diffusions and their numerical computations. Preprint 2005. (Final version appeared in Proc. Abel Symp. 2005: Stochastic Analysis and Applications. Springer Verlag (2007) ed. by Benth, Di Nunno, Lindstroem, OEksendal, Zhang. 

Salminen P., Vallois P.: On maximal increase and decrease for Brownian motion. Preprint 2005. (Final version to appear Ann. Inst. H. Poincare.)

Salminen P., Yor M.: On Tanaka´s formula for symmetric Lévy processes. Prepublication PMA-957, 2005. (Final version to appear in Seminairé de probabilité).

Salminen P., Kozlova M.: On an occupation time identity for reflecting Brownian motion with drift, Periodica Math. Hung., Vol. 51 (1-2), p. 189 -198, 2005. 

Borodin A., Salminen P.: On some exponential integral functionals of BM(µ) and BES(3), Zap. Nauchn. Semin. POMI, Vol. 311, p. 51-78, 2004. 

Kozlova M., Salminen P.: On occupation times of stationary excursions, Electr. Comm. Probab., Vol. 10, p. 94-104, 2005. 

Salminen P., Yor M.: Perpetual integral fuctionals as hitting and occupation times, Electr. J. Probab., Vol. 10, p. 371-419, 2005. 

Salminen P., Yor M.: Properties of perpetual integral functionals of Brownian motion with drift, Annales de l´Institute de Henri Poincare - Probabilites et Statistiques,Vol. 41, p. 335-347, 2005. Prepublication PMA-845

Mannersalo P., Norros I., Salminen P.: A storage process with local time input. Queueing Systems, 2003. 

Salminen P., Vallois P.: On first range times of linear diffusions, Journal of Theoretical probability, Vol. 18(3), p. 567-593 (2005). Prepublication de l´IECN 2003/22.

Kozlova M., Salminen P.: Diffusion local time storage. Stochastic Processes and their Applications, Vol. 114, p. 211-229, 2004. 

Salminen P., Yor M.: On Dufresne´s perpetuity, translated and reflected. Proceedings of the Ritsumeikan International Symposium 2003: Stochastic Processes and Applications to Mathematical Finance. Ed. Akahori, Ogawa and Watanabe, p. 337-354. World Scientific 2004. Prepublication PMA-858

Salminen P.: Brownian motion, Encyclopedia of Actuarial Sciences, ed. Teugels and Sundt, Vol. 1, p. 204-209. John Wiley & Sons, Ltd, Chichester, 2004. 

Salminen P., Norros I.: On busy periods of the unbounded Brownian storage, Queueing Systems 39, 317-333, 2001. 

Salminen P.: Brownian local time, Encyclopaedia of Mathematics, Supplement II, p. 94-95, ed. M. Hazewinkel, Kluwer Academic Publishers, Dordrecht, 2000. 

Salminen P.: On Russian Options, Theory of Stochastic Processes, Vol. 6(22), no. 3-4, 2000, pp. 161-176. 

Salminen P.: Optimal Stopping and American Put Options. Theory of Stochastic Processes, Vol. 5(21), no. 1-2, 1999, pp. 129-144. 


Borodin, A.N., Salminen, P.: Handbook of Brownian Motion - Facts and Formulae, 2nd edition. Birkhauser Verlag, Basel-Boston-Berlin, 2002.

Spravocnik po brounovskomy dvizeniy - fakty i formuly. Lan publishers, St. Petersburg, 2000. (Joint work with A.N. Borodin). (Extended Russian translation of Handbook of Brownian Motion - Facts and Formulae. Birkhauser Verlag, Basel, 1996).

Borodin, A.N., Salminen, P.: Handbook of Brownian Motion - Facts and Formulae. Birkhauser Verlag, Basel-Boston-Berlin, 1996.

Useful links in probability:
Electronic journals:
Probability Surveys Electronic Journal of Probability
The Probability Web

Updated by Paavo Salminen on July 3, 2014