Dynamic Bridges
Author:
Publisher
Springer New York
Link
http://link.springer.com/content/pdf/10.1007/978-1-4939-8835-8_5
Reference13 articles.
1. Aronson, D.G.: Bounds for the fundamental solution of a parabolic equation. Bull. Amer. Math. Soc. 73, 890–896 (1967)
2. Baldi, P., Caramellino, L.: Asymptotics of hitting probabilities for general one-dimensional pinned diffusions. Ann. Appl. Probab. 12(3), 1071–1095 (2002). doi: https://doi.org/10.1214/aoap/1031863181 . URL http://dx.doi.org/10.1214/aoap/1031863181
3. Bielecki, T.R., Rutkowski, M.: Credit risk: modelling, valuation and hedging. Springer Finance. Springer-Verlag, Berlin (2002)
4. Campi, L., Çetin, U., Danilova, A.: Dynamic Markov bridges motivated by models of insider trading. Stochastic Processes and their Applications 121(3), 534–567 (2011)
5. Campi, L., Cetin, U., Danilova, A., et al.: Explicit construction of a dynamic Bessel bridge of dimension 3. Electronic Journal of Probability 18 (2013)
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