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On the First-Passage Area of a One-Dimensional Jump-Diffusion Process · Study

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ArticleOn the First-Passage Area of a One-Dimensional Jump-Diffusion Process

Mario Abundo2011

Article2011

On the First-Passage Area of a One-Dimensional Jump-Diffusion Process

24 citations·0/0 files stored·Methodology And Computing In Applied Probability

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Stochastic processes and financial applications Probability and Statistical Research Probability and Risk Models

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References

1983Stochastic Differential Equations and Diffusion Processes 2006Stochastic Differential Equations 1972Stochastic Differential Equations 2012Introduction to Stochastic Calculus with Applications 1984A second course in stochastic processes 2005On the area under a continuous time Brownian motion till its first-passage time

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2006Limit at Zero of the First-Passage Time Density and the Inverse Problem for One-Dimensional Diffusionsarticle · 4 shared references 1985On solutions of one-dimensional stochastic differential equations without driftarticle · 3 shared references 1987A two-sided stochastic integral and its calculusarticle · 3 shared references 2011Numerical Solution of Stochastic Differential Equations in Financechapter · 3 shared references 1981The Malliavin calculus and its application to second order parabolic differential equations: Part IIarticle · 3 shared references 1987A review on stochastic differential equations for applications in hydrologyarticle · 3 shared references

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Year2011

Typearticle

Published2011-04-13

VenueMethodology And Computing In Applied Probability

ISSN-L1387-5841

Languageen

Citations24

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s11009-011-9223-1

openalex_workW1989229285

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