An integral equation for Root's barrier and the generation of Brownian increments (Q2354891): Difference between revisions

@@ Property / arXiv ID @@
+.5877
@@ Property / arXiv ID: 1309.5877 / rank @@
+Normal rank
@@ Property / cites work @@
+Finite, integrable and bounded time embeddings for diffusions
+Normal rank
@@ Property / cites work @@
+SKOROKHOD EMBEDDINGS IN BOUNDED TIME
@@ Property / cites work: SKOROKHOD EMBEDDINGS IN BOUNDED TIME / rank @@
+Normal rank
@@ Property / cites work @@
+Potential Processes
@@ Property / cites work: Potential Processes / rank @@
+Normal rank
@@ Property / cites work @@
+A Mathematical Analysis of the Optimal Exercise Boundary for American Put Options
+Normal rank
@@ Property / cites work @@
+Boundary sensitivities for diffusion processes in time dependent domains
+Normal rank
@@ Property / cites work @@
+Root's barrier: construction, optimality and applications to variance options
+Normal rank
@@ Property / cites work @@
+Hitting time for Bessel processes-walk on moving spheres algorithm (WoMS)
+Normal rank
@@ Property / cites work @@
+Q3241504
@@ Property / cites work: Q3241504 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4101036
@@ Property / cites work: Q4101036 / rank @@
+Normal rank
@@ Property / cites work @@
+A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options
+Normal rank
@@ Property / cites work @@
+The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices
+Normal rank
@@ Property / cites work @@
+Robust hedging of the lookback option
@@ Property / cites work: Robust hedging of the lookback option / rank @@
+Normal rank
@@ Property / cites work @@
+Q4844840
@@ Property / cites work: Q4844840 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4354424
@@ Property / cites work: Q4354424 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3681889
@@ Property / cites work: Q3681889 / rank @@
+Normal rank
@@ Property / cites work @@
+Stopping times on Brownian motion: Some properties of root's construction
+Normal rank
@@ Property / cites work @@
+The Two-Sided Stefan Problem with a Spatially Dependent Latent Heat
+Normal rank
@@ Property / cites work @@
+Weak approximation of a diffusion process in a bounded domain
+Normal rank
@@ Property / cites work @@
+Simulation of a space-time bounded diffusion
@@ Property / cites work: Simulation of a space-time bounded diffusion / rank @@
+Normal rank
@@ Property / cites work @@
+On Embedding Right Continuous Martingales in Brownian Motion
+Normal rank
@@ Property / cites work @@
+Some Continuous Monte Carlo Methods for the Dirichlet Problem
+Normal rank
@@ Property / cites work @@
+Root's barrier, viscosity solutions of obstacle problems and reflected FBSDEs
+Normal rank
@@ Property / cites work @@
+The Skorokhod embedding problem and its offspring
@@ Property / cites work: The Skorokhod embedding problem and its offspring / rank @@
+Normal rank
@@ Property / cites work @@
+ON THE AMERICAN OPTION PROBLEM
@@ Property / cites work: ON THE AMERICAN OPTION PROBLEM / rank @@
+Normal rank
@@ Property / cites work @@
+The Existence of Certain Stopping Times on Brownian Motion
+Normal rank
@@ Property / cites work @@
+An Efficient Algorithm to Simulate a Brownian Motion Over Irregular Domains
+Normal rank
@@ Property / OpenAlex ID @@
+W3100345231
@@ Property / OpenAlex ID: W3100345231 / rank @@
+Normal rank