First passage time of a Markov chain that converges to Bessel process

DOI10.1155/2017/7189826zbMATH Open1470.60205OpenAlexW2772496758MaRDI QIDQ1667565FDOQ1667565

Moussa Kounta

Publication date: 30 August 2018

Published in: Abstract and Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2017/7189826

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Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Diffusion processes (60J60)

Cites Work

• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
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• First hitting problems for Markov chains that converge to a geometric Brownian motion
• Applied stochastic processes.
• Conformal invariance and $2D$ statistical physics
• Quadratic-Variation-Based Dynamic Strategies
• On a discrete version of the CIR process

Cited In (1)

• Approximation of the first passage time distribution for the birth–death processes

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