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On hitting times of affine boundaries by reflecting Brownian motion and Bessel processes
7 references·1 citing·25 second hop
On hitting times of affine boundaries by reflecting Brownian motion and Bessel processes (2011)On hitting times of affine boundaries by …Optimal stopping and free-boundary problems (2006)Optimal stopping and free-bou…Some conditional crossing results of Brownian motion over a piecewise-linear boundary (2002)Some conditional crossing res…Handbook of Brownian Motion - Facts and Formulae (2002)Handbook of Brownian Motion -…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…Handbook of Brownian Motion — Facts and Formulae (1996)Handbook of Brownian Motion —…On the first hitting time and the last exit time for a Brownian motion to/from a moving boundary (1988)On the first hitting time and…FIRST EXIT TIMES FROM A SQUARE ROOT BOUNDARY (1967)FIRST EXIT TIMES FROM A SQUAR…Adaptive quantile computation for Brownian bridge in change-point analysis (2021)Adaptive quantile computation…Cybernetics and Systems '90 (1990)Boundary crossing probability for Brownian motion and general boundaries (1997)Adaptive Monte Carlo Algorithms for Stopped Diffusion (2005)Analysis of a change-point regression problem in quality control by partial sums processes and Kolmogorov type tests (2005)Limit at Zero of the First-Passage Time Density and the Inverse Problem for One-Dimensional Diffusions (2006)Some solvable stochastic control problemst† (1980)Approximations of boundary crossing probabilities for a Brownian motion (1999)20 Nonparametric methods for changepoint problems (1988)Limit theorems in change-point analysis (1997)Structural breaks in time series (2012)An optimal stopping problem with linear reward (1974)Path dependent options on yields in the affine term structure model (1998)Valuation of contingent claims with mortality and interest rate risks (2008)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) (2006)Control Techniques for Complex Networks (2007)EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?* (2009)Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure (2010)A survey and some generalizations of Bessel processes (2003)Exponential functionals of Brownian motion, I: Probability laws at fixed time (2005)A jump to default extended CEV model: an application of Bessel processes (2006)Waiting for News in the Market for Lemons (2012)Sorting through Search and Matching Models in Economics (2017)Bandit Algorithms (2020)
this work references cited by second hop

References

  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 1996Handbook of Brownian Motion — Facts and Formulae1,400 cited
  • 2002Handbook of Brownian Motion - Facts and Formulae1,102 cited
  • 2006Optimal stopping and free-boundary problems1,070 cited
  • 1988On the first hitting time and the last exit time for a Brownian motion to/from a moving boundary118 cited
  • 1967FIRST EXIT TIMES FROM A SQUARE ROOT BOUNDARY99 cited
  • 2002Some conditional crossing results of Brownian motion over a piecewise-linear boundary38 cited

Cited by

  • 2021Adaptive quantile computation for Brownian bridge in change-point analysis5 cited

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