Crossing probabilities for diffusion processes with piecewise continuous boundaries (Q2642479): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W2017067860
@@ Property / OpenAlex ID: W2017067860 / rank @@
+Normal rank
@@ Property / arXiv ID @@
+math/0612337
@@ Property / arXiv ID: math/0612337 / rank @@
+Normal rank
@@ Property / cites work @@
+A Modification of the Sequential Probability Ratio Test to Reduce the Sample Size
+Normal rank
@@ Property / cites work @@
+Exact asymptotics for boundary crossings of the Brownian bridge with trend with application to the Kolmogorov test
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+On the Transformation of Diffusion Processes into the Wiener Process
+Normal rank
@@ Property / cites work @@
+Explicit Bounds for Approximation Rates of Boundary Crossing Probabilities for the Wiener Process
+Normal rank
@@ Property / cites work @@
+Q3249290
@@ Property / cites work: Q3249290 / rank @@
+Normal rank
@@ Property / cites work @@
+A Theory of the Term Structure of Interest Rates
@@ Property / cites work: A Theory of the Term Structure of Interest Rates / rank @@
+Normal rank
@@ Property / cites work @@
+The minimum of a stationary Markov process superimposed on a U-shaped trend
+Normal rank
@@ Property / cites work @@
+Approximating the first crossing-time density for a curved boundary
+Normal rank
@@ Property / cites work @@
+Heuristic Approach to the Kolmogorov-Smirnov Theorems
+Normal rank
@@ Property / cites work @@
+Q2759604
@@ Property / cites work: Q2759604 / rank @@
+Normal rank
@@ Property / cites work @@
+Boundary-crossing probabilities for the Brownian motion and Poisson processes and techniques for computing the power of the Kolmogorov-Smirnov test
+Normal rank
@@ Property / cites work @@
+The first-passage density of the Brownian motion process to a curved boundary
+Normal rank
@@ Property / cites work @@
+System reliability based on diffusion models for fatigue crack growth
+Normal rank
@@ Property / cites work @@
+The tangent approximation to one-sided Brownian exit densities
+Normal rank
@@ Property / cites work @@
+An asymptotic expansion for one-sided Brownian exit densities
+Normal rank
@@ Property / cites work @@
+Stochastic differential equations for compounded risk reserves
+Normal rank
@@ Property / cites work @@
+On the evaluation of first-passage-time probability densities via non-singular integral equations
+Normal rank
@@ Property / cites work @@
+An improved technique for the simulation of first passage times for diffusion processes
+Normal rank
@@ Property / cites work @@
+A Monte Carlo method for the simulation of first passage times of diffusion processes
+Normal rank
@@ Property / cites work @@
+Q4002114
@@ Property / cites work: Q4002114 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4004325
@@ Property / cites work: Q4004325 / rank @@
+Normal rank
@@ Property / cites work @@
+Modeling growth stocks via birth-death processes
@@ Property / cites work: Modeling growth stocks via birth-death processes / rank @@
+Normal rank
@@ Property / cites work @@
+Über die analytischen Methoden in der Wahrscheinlichkeitsrechnung
+Normal rank
@@ Property / cites work @@
+Testing for Structural Change in Dynamic Models
@@ Property / cites work: Testing for Structural Change in Dynamic Models / rank @@
+Normal rank
@@ Property / cites work @@
+Q4229805
@@ Property / cites work: Q4229805 / rank @@
+Normal rank
@@ Property / cites work @@
+Boundary crossing of Brownian motion. Its relation to the law of the iterated logarithm and to sequential analysis
+Normal rank
@@ Property / cites work @@
+Double barrier hitting time distributions with applications to exotic options
+Normal rank
@@ Property / cites work @@
+The final size of a nearly critical epidemic, and the first passage time of a Wiener process to a parabolic barrier
+Normal rank
@@ Property / cites work @@
+Q4905685
@@ Property / cites work: Q4905685 / rank @@
+Normal rank
@@ Property / cites work @@
+Approximations of boundary crossing probabilities for a Brownian motion
+Normal rank
@@ Property / cites work @@
+Q4459185
@@ Property / cites work: Q4459185 / rank @@
+Normal rank
@@ Property / cites work @@
+Boundary crossing probability for Brownian motion
@@ Property / cites work: Boundary crossing probability for Brownian motion / rank @@
+Normal rank
@@ Property / cites work @@
+On the transformation of diffusion processes into the Wiener process
+Normal rank
@@ Property / cites work @@
+Q4704751
@@ Property / cites work: Q4704751 / rank @@
+Normal rank
@@ Property / cites work @@
+On an integral equation for first-passage-time probability densities
+Normal rank
@@ Property / cites work @@
+Pricing Barrier Options with Time–Dependent Coefficients
+Normal rank
@@ Property / cites work @@
+On evaluations and asymptotic approximations of first-passage-time probabilities
+Normal rank
@@ Property / cites work @@
+Q3706371
@@ Property / cites work: Q3706371 / rank @@
+Normal rank
@@ Property / cites work @@
+Boundary crossing probabilities and statistical applications
+Normal rank
@@ Property / cites work @@
+Asymptotic analysis of the general stochastic epidemic with variable infectious periods
+Normal rank
@@ Property / cites work @@
+Q5600531
@@ Property / cites work: Q5600531 / rank @@
+Normal rank
@@ Property / cites work @@
+First passage time to detection in stochastic population dynamical models for HIV-1
+Normal rank
@@ Property / cites work @@
+An equilibrium characterization of the term structure
+Normal rank
@@ Property / cites work @@
+Boundary crossing probability for Brownian motion and general boundaries
+Normal rank
@@ Property / cites work @@
+On the uniqueness of solutions of stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Alternative boundaries for CUSUM tests
@@ Property / cites work: Alternative boundaries for CUSUM tests / rank @@
+Normal rank