On the probability of hitting the boundary for Brownian motions on the SABR plane

DOI10.1214/16-ECP26zbMath1384.60090arXiv1610.05636MaRDI QIDQ727857

Antoine Jacquier, Blanka Horvath, Archil Gulisashvili

Publication date: 21 December 2016

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1610.05636

zbMATH Keywords

hitting timesBrownian motion on a manifoldSABR model

Mathematics Subject Classification ID

Geometric probability and stochastic geometry (60D05) Brownian motion (60J65) Diffusion processes (60J60) Diffusion processes and stochastic analysis on manifolds (58J65)

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