A conditional expectation formula for diffusion processes

DOI10.2307/3213468MaRDI QIDQ4150971zbMATH OpenOpenAlexFDO

Authors Knut Kristian Aase

Publication date 1977

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/3213468

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Cited in

(3)

• Ruin problems and myopic portfolio optimization in continuous trading
• Conditioned moments of time to fixation
• Kac's moment formula and the Feynman-Kac formula for additive functionals of a Markov process

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