The First Passage Time of a Stable Process Conditioned to Not Overshoot
Author:
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability
Link
http://link.springer.com/content/pdf/10.1007/s10959-014-0592-6.pdf
Reference28 articles.
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2. Barndorff-Nielsen, O.E., Prause, K.: Apparent scaling. Financ. Stoch. 5(1), 103–113 (2001)
3. Bernyk, V., Dalang, R.C., Peskir, G.: The law of the supremum of a stable Lévy process with no negative jumps. Ann. Probab. 36(5), 1777–1789 (2008)
4. Bertoin, J.: Lévy Processes. Cambridge University Press, Cambridge (1996)
5. Bingham, N.H.: Maxima of sums of random variables and suprema of stable processes. Z. Wahrsch. Verw. Gebeite 26, 273–296 (1973)
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