On the fundamental solution of the Kolmogorov-Shiryaev equation (Q5493563)
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scientific article; zbMATH DE number 5066278
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| English | On the fundamental solution of the Kolmogorov-Shiryaev equation |
scientific article; zbMATH DE number 5066278 |
Statements
23 October 2006
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integral of geometric Brownian motion
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Laplace transform
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confluent hypergeometric function
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modified Bessel function
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Hankel's contour integral
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Kolmogorov forward equation
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Shiryaev process
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0.7507364153862
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0.7503558993339539
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0.7464747428894043
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0.7454476356506348
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0.7432142496109009
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