Exact solutions of the two-side exit time problems for the Vasicek model (Q5057339)
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scientific article; zbMATH DE number 7633421
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Exact solutions of the two-side exit time problems for the Vasicek model |
scientific article; zbMATH DE number 7633421 |
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Exact solutions of the two-side exit time problems for the Vasicek model (English)
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16 December 2022
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exit time
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strong Markov property
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Vasicek model
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the Laplace-Stieltjes transform
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martingale
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