Distributions of occupation times of Brownian motion with drift
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Publication:1302365
DOI10.1155/S1173912699000036zbMath0933.91016MaRDI QIDQ1302365
Publication date: 22 September 1999
Published in: Journal of Applied Mathematics and Decision Sciences (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/120175
surveyBrownian motionBlack-Scholes modelmathematical financeoccupation timesAkahori's generalized arc-sine lawquantile options
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The positive occupation time of Brownian motion with two-valued drift and asymptotic dynamics of sliding motion with noise ⋮ Brownian motion conditioned to spend limited time below a barrier ⋮ Expected median of a shifted Brownian motion: Theory and calculations ⋮ The speed of invasion in an advancing population ⋮ An interesting property of the arcsine distribution and its applications ⋮ Occupation times of alternating renewal processes with Lévy applications ⋮ Closed-form solutions to stochastic process switching problems ⋮ Pricing Occupation-Time Options in a Mixed-Exponential Jump-Diffusion Model ⋮ Optimal investment strategy to minimize occupation time ⋮ Distribution of occupation times for constant elasticity of variance diffusion and the pricing ofα-quantile options
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