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On the First-Passage Area of a One-Dimensional Jump-Diffusion Process
6 references·0 citing·12 second hop
On the First-Passage Area of a One-Dimensional Jump-Diffusion Process (2011)On the First-Passage Area of a One-Dimens…Introduction to Stochastic Calculus with Applications (2012)Introduction to Stochastic Ca…Stochastic Differential Equations (2006)Stochastic Differential Equat…On the area under a continuous time Brownian motion till its first-passage time (2005)On the area under a continuou…A second course in stochastic processes (1984)A second course in stochastic…Stochastic Differential Equations and Diffusion Processes (1983)Stochastic Differential Equat…Stochastic Differential Equations (1972)Stochastic Differential Equat…On a random area variable arising in discrete-time queues and compact directed percolation (2004)The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding (1990)Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach (2002)The Statistical and Economic Role of Jumps in Continuous‐Time Interest Rate Models (2004)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model (2010)Numerical Solution of Stochastic Differential Equations (2016)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Backward Stochastic Differential Equations in Finance (1997)Controlled Markov Processes and Viscosity Solutions (2005)Evolution, Finance, and the Population Genetics of Relative Wealth (2017)Rational Momentum Effects (2002)
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References

  • 1983Stochastic Differential Equations and Diffusion Processes3,836 cited
  • 2006Stochastic Differential Equations1,269 cited
  • 1972Stochastic Differential Equations977 cited
  • 2012Introduction to Stochastic Calculus with Applications875 cited
  • 1984A second course in stochastic processes51 cited
  • 2005On the area under a continuous time Brownian motion till its first-passage time40 cited

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