Some integral functionals of reflected SDEs and their applications in finance (Q3169213): Difference between revisions

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+Transient behavior of regulated Brownian motion, I: Starting at the origin
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+Transient behavior of regulated Brownian motion, II: Non-zero initial conditions
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+Drift rate control of a Brownian processing system
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+Stochastic Devaluation Risk and the Empirical Fit of Target-Zone Models
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+On the first passage times of reflected O-U processes with two-sided barriers
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+Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates
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+On the transition densities for reflected diffusions
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+Stochastic differential equations with reflecting boundary conditions
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+Some results on stochastic differential equations with reflecting boundary conditions
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+Comparison of sequence accelerators for the Gaver method of numerical Laplace transform inversion
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+A diffusion approximation for a Markovian queue with reneging
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+Properties of the reflected Ornstein-Uhlenbeck process
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+On the strong solutions of one-dimensional stochastic differential equations with reflecting boundary
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