Stochastic Integral Representations of the Extrema of Time-homogeneous Diffusion Processes
Author:
Publisher
Springer Science and Business Media LLC
Subject
General Mathematics,Statistics and Probability
Link
http://link.springer.com/content/pdf/10.1007/s11009-015-9467-2.pdf
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3. Chen A, Feng L, Song R (2011) On the monitoring error of the supremum of a normal jump diffusion process. J Appl Probab 48(4):1021–1034
4. Colwell DB, Elliott RJ, Ekkehard Kopp P (1991) Martingale representation and hedging policies. Stoch Process Appl 38(2):335–345
5. Cox A, Hobson D, Obloj J (2011) Time-homogeneous diffusions with a given marginal at a random time. ESAIM Probab Stat 15:S11—S24
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