Wiener–Hopf factorization for arithmetic Brownian motion with time-dependent drift and volatility-Reference-Cited by-同舟云学术

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Wiener–Hopf factorization for arithmetic Brownian motion with time-dependent drift and volatility

Published:2023-02 Issue: Volume:156 Page:246-290
ISSN:0304-4149
Container-title:Stochastic Processes and their Applications
language:en
Short-container-title:Stochastic Processes and their Applications

Author:

Bielecki Tomasz R.,Cheng Ziteng^ORCID,Gong Ruoting^ORCID

Publisher

Elsevier BV

Subject

Applied Mathematics,Modeling and Simulation,Statistics and Probability

Reference24 articles.

1. Wiener–Hopf factorization for matrices;Barlow,1980

2. Lévy Processes;Bertoin,1996

3. Wiene–Hopf factorization technique for time-inhomogeneous finite Markov chains;Bielecki;Stochastics,2020

4. Wiener–Hopf factorization for time-inhomogeneous Markov chains and its application;Bielecki;Probab. Math. Stat.,2020

5. Handbook of Brownian Motion - Facts and Formulae;Borodin,2002

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