On an approach to boundary crossing by stochastic processes-Reference-Cited by-同舟云学术

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On an approach to boundary crossing by stochastic processes

Published:2016-12 Issue:12 Volume:126 Page:3843-3853
ISSN:0304-4149
Container-title:Stochastic Processes and their Applications
language:en
Short-container-title:Stochastic Processes and their Applications

Author:

Brown Mark,de la Peña Victor H.,Klass Michael J.,Sit Tony

Funder

Columbia University

RGC ECS

Publisher

Elsevier BV

Subject

Applied Mathematics,Modeling and Simulation,Statistics and Probability

Reference15 articles.

1. Arbitrage Theory in Continuous Time;Björk,2000

2. From Boundary crossing of non-random functions to boundary crossing of stochastic processes;Brown;Probab. Engrg. Inform. Sci.,2015

3. Extrapolation and interpolation of quasi-linear operators on martingales;Burkholder;Acta Math.,1970

4. M.H.A. Davis, M.R. Pistorius, Quantification of counterparty risk via Bessel bridges. Manuscript, 2010.

5. Hitting time for Bessel processes—Walk on moving spheres algorithm (WOMS);Deaconu;Ann. Appl. Probab.,2013

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Some Remarks on the Mean of the Running Maximum of Integrated Gauss-Markov Processes and Their First-Passage Times;Computer Aided Systems Theory – EUROCAST 2017;2018

2. The mean of the running maximum of an integrated Gauss–Markov process and the connection with its first-passage time;Stochastic Analysis and Applications;2017-01-17

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