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On hitting times of affine boundaries by reflecting Brownian motion and Bessel processes · Study

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ArticleOn hitting times of affine boundaries by reflecting Brownian motion and Bessel processes

Paavo Salminen2011

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Articlegreen2011

On hitting times of affine boundaries by reflecting Brownian motion and Bessel processes

Paavo Salminen · Marc Yor

21 citations·0/0 files stored·Periodica Mathematica Hungarica

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Stochastic processes and financial applications Probability and Statistical Research Stochastic processes and statistical mechanics

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References

1999Continuous Martingales and Brownian Motion 1996Handbook of Brownian Motion — Facts and Formulae 2002Handbook of Brownian Motion - Facts and Formulae 2006Optimal stopping and free-boundary problems 1988On the first hitting time and the last exit time for a Brownian motion to/from a moving boundary 1967FIRST EXIT TIMES FROM A SQUARE ROOT BOUNDARY 2002Some conditional crossing results of Brownian motion over a piecewise-linear boundary

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Year2011

Typearticle

Published2011-02-16

VenuePeriodica Mathematica Hungarica

ISSN-L0031-5303

Languageen

Citations21

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s10998-011-5075-2

openalex_workW2032768451

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