On decomposition of the last passage time of diffusions

DOI10.1016/J.SPA.2025.104563MaRDI QIDQ6997987zbMATH OpenFDO

Authors Masahiko Egami, Rusudan Kevkhishvili

Publication date 11 April 2025

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.SPA.2025.104563

zbMATH Keywords

Brownian motiondecompositiondiffusionsGreen functionlast passage timeoccupation timestock pricesswitching volatility

Mathematics Subject Classification ID

Diffusion processes (60J60) Brownian motion (60J65) Financial applications of other theories (91G80)

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Cited in

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• Stopping times in the filtration of a Brownian motion stopped at its last passage time

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