First passage times for some classes of fractional time-changed diffusions
Author:
Affiliation:
1. School of Mathematics, Cardiff University, Cardiff, UK
2. Dipartimento di Matematica e Applicazioni “Renato Caccioppoli”, Università degli Studi di Napoli Federico II, Napoli, Italy
Funder
MIUR—PRIN
Publisher
Informa UK Limited
Subject
Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/07362994.2021.1953386
Reference40 articles.
1. Financial Markets with Memory I: Dynamic Models
2. Fractional Ornstein-Uhlenbeck Process with Stochastic Forcing, and its Applications
3. On a stochastic neuronal model integrating correlated inputs
4. An optimal Gauss–Markov approximation for a process with stochastic drift and applications
5. Time-changed Ornstein–Uhlenbeck process
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