On the first passage problem for correlated Brownian motion
From MaRDI portal
Publication:2267603
DOI10.1016/j.spl.2009.11.001zbMath1186.60082MaRDI QIDQ2267603
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
60J65: Brownian motion
Related Items
Estimates of the Exit Probability for Two Correlated Brownian Motions, Collateralized Borrowing and Default Risk, Pricing of vanilla and first-generation exotic options in the local stochastic volatility framework: survey and new results, PRICING TWO-ASSET BARRIER OPTIONS UNDER STOCHASTIC CORRELATION VIA PERTURBATION, Two asset-barrier option under stochastic volatility, Three dimensional distribution of Brownian motion extrema, Finite-time ruin probability for correlated Brownian motions, An accurate and efficient approach to probabilistic conflict prediction, Approximation of the first passage time density of a Wiener process to an exponentially decaying boundary by two-piecewise linear threshold. Application to neuronal spiking activity, Sharp regularity near an absorbing boundary for solutions to second order SPDEs in a half-line with constant coefficients, First passage times of two-dimensional correlated processes: analytical results for the Wiener process and a numerical method for diffusion processes, A stochastic partial differential equation model for the pricing of mortgage-backed securities, Structural default model with mutual obligations, A note on the distribution of multivariate Brownian extrema, Exact asymptotics of component-wise extrema of two-dimensional Brownian motion, On correlated defaults and incomplete information, Backward stochastic differential equations with non-Markovian singular terminal conditions for general driver and filtration, Decision with multiple alternatives: geometric models in higher dimensions -- the cube model, Multidimensional hitting time results for Brownian bridges with moving hyperplanar boundaries, Valuation of risk-based premium of DB pension plan with terminations, Simulation of reflected Brownian motion on two dimensional wedges, Pricing credit default swaps with bilateral value adjustments, Weak Convergence of Path-Dependent SDEs in Basket Credit Default Swap Pricing with Contagion Risk, Boundary crossing probabilities for high-dimensional Brownian motion, Extremes and First Passage Times of Correlated Fractional Brownian Motions
Cites Work