On the First Time that a 3-D Bessel Bridge Hits a Boundary
Author:
Publisher
Informa UK Limited
Subject
Applied Mathematics,Modeling and Simulation,Statistics and Probability
Link
http://www.tandfonline.com/doi/pdf/10.1080/15326349.2012.726046
Reference11 articles.
1. Alili , L. ; Patie , P. Boundary–crossing identities for diffusions having the time–inversion property. Journal of Theortical Probability2010,23(1), 65–84.
2. Davis , M.H.A. ; Pistorius , M.R. Quantification of counterparty risk via Bessel bridges. Retrieved from SSRN: http://ssrn.com/abstract=1722604. 2010.
3. On a Nonparametric Homogeneity Criterion for k Samples
4. Hernandez-del-Valle , G. On changes of measure and representations of the first hitting time of a Bessel process. Communications in Stochastic Analysis2011,5(4), 701–719.
5. Hernandez-del-Valle , G. On hitting times, Bessel bridges, and Schrodinger's equation. Bernoulli, 2012.
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