On exit times of multivariate random walk with some applications to finance-Reference-Cited by-同舟云学术

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On exit times of multivariate random walk with some applications to finance

Published:2005-11 Issue:5-7 Volume:63 Page:e569-e577
ISSN:0362-546X
Container-title:Nonlinear Analysis: Theory, Methods & Applications
language:en
Short-container-title:Nonlinear Analysis: Theory, Methods & Applications

Author:

Dshalalow J.

Publisher

Elsevier BV

Subject

Applied Mathematics,Analysis

Reference6 articles.

1. Fluctuation theory in continuous time;Bingham;Adv. Appl. Probab.,1975

2. On the level crossing of multi-dimensional delayed renewal processes;Dshalalow;J. Appl. Math. Stoch. Anal.,1997

3. Fluctuations of recurrent processes and their application to the stock market;Dshalalow;Stoch. Anal. Appl.,2004

4. Modelling fluctuations of financial time series;Muzy;Eur. Phys. J. B,2000

5. A Guide to First-Passage Processes;Redner,2001

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