On the first passage problem for correlated Brownian motion

DOI10.1016/j.spl.2009.11.001zbMath1186.60082MaRDI QIDQ2267603

Adam Metzler

Publication date: 1 March 2010

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2009.11.001

Mathematics Subject Classification ID

60J65: Brownian motion

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Cites Work

• Hitting Lines with Two-Dimensional Brownian Motion
• Computation of Multivariate Barrier Crossing Probability and its Applications in Credit Risk Models
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