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On Reflecting Brownian Motion with Drift
13 references·1 citing·29 second hop
On Reflecting Brownian Motion with Drift (2006)On Reflecting Brownian Motion with DriftThe trap of complacency in predicting the maximum (2007)The trap of complacency in pr…Optimal prediction of the ultimate maximum of Brownian motion (2003)Optimal prediction of the ult…Stopping Brownian Motion Without Anticipation as Close as Possible to Its Ultimate Maximum (2001)Stopping Brownian Motion With…Fluctuation Theory for Lévy Processes (2001)Fluctuation Theory for Lévy P…An Extension of P. Lévy's Distributional Properties to the Case of a Brownian Motion with Drift (2000)An Extension of P. Lévy's Dis…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…Stochastic Differential Equations and Diffusion Processes (1983)Stochastic Differential Equat…Reflected Brownian Motion on an Orthant (1981)Reflected Brownian Motion on …Stochastic differential equations with reflecting boundary condition in convex regions (1979)Stochastic differential equat…Fluctuation theory in continuous time (1975)Fluctuation theory in continu…Fluctuation theory in continuous time (1975)Fluctuation theory in continu…A. Skorohod’s stochastic integral equation for a reflecting barrier diffusion (1963)A. Skorohod’s stochastic inte…CONTINUOUS INSPECTION SCHEMES (1954)CONTINUOUS INSPECTION SCHEMESOptimal portfolio liquidation in target zone models and catalytic superprocesses (2015)Optimal portfolio liquidation…Some Problems in the Theory of Queues (1951)The single server queue in heavy traffic (1961)Multiple channel queues in heavy traffic. I (1970)Cramér's estimate for Lévy processes (1994)On Exit and Ergodicity of the Spectrally One-Sided Lévy Process Reflected at Its Infimum (2004)De Finetti’s optimal dividends problem with an affine penalty function at ruin (2009)Methods of Mathematical Finance (1998)Essentials of Stochastic Finance (1999)Three-dimensional Brownian motion and the golden ratio rule (2013)The Analytic Valuation of American Options (1990)Optimal stopping and free-boundary problems (2006)Optimal detection of a hidden target: The median rule (2012)A Note on the Continuity of Free-Boundaries in Finite-Horizon Optimal Stopping Problems for One-Dimensional Diffusions (2015)Wiener-Hopf Factorization for a Family of Lévy Processes Related to Theta Functions (2010)Meromorphic Lévy processes and their fluctuation identities (2012)Optimal dividends in the dual model under transaction costs (2013)Backward Stochastic Differential Equations in Finance (1997)The Variance Gamma Process and Option Pricing (1998)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)Optimal control of diffustion processes and hamilton-jacobi-bellman equations part I: the dynamic programming principle and application (1983)Stochastic differential equations for multi-dimensional domain with reflecting boundary (1987)On lipschitz continuity of the solution mapping to the skorokhod problem, with applications (1991)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Controlled Markov Processes and Viscosity Solutions (2005)Procedures for Reacting to a Change in Distribution (1971)changepoint : An R Package for Changepoint Analysis (2014)Selective review of offline change point detection methods (2019)Brownian models of open queueing networks with homogeneous customer populations ∗ (1987)Diffusion approximations for open multiclass queueing networks: sufficient conditions involving state space collapse (1998)
this work references cited by second hop

References

  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 1954CONTINUOUS INSPECTION SCHEMES5,731 cited
  • 1983Stochastic Differential Equations and Diffusion Processes3,836 cited
  • 1979Stochastic differential equations with reflecting boundary condition in convex regions415 cited
  • 1981Reflected Brownian Motion on an Orthant390 cited
  • 1975Fluctuation theory in continuous time179 cited
  • 1975Fluctuation theory in continuous time146 cited
  • 2001Fluctuation Theory for Lévy Processes96 cited
  • 2001Stopping Brownian Motion Without Anticipation as Close as Possible to Its Ultimate Maximum76 cited
  • 2007The trap of complacency in predicting the maximum69 cited
  • 2000An Extension of P. Lévy's Distributional Properties to the Case of a Brownian Motion with Drift68 cited
  • 2003Optimal prediction of the ultimate maximum of Brownian motion44 cited
  • 1963A. Skorohod’s stochastic integral equation for a reflecting barrier diffusion26 cited

Cited by

  • 2015Optimal portfolio liquidation in target zone models and catalytic superprocesses21 cited

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