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

DOI10.1155/2017/7189826MaRDI QIDQ1667565zbMATH OpenOpenAlexFDO

Authors Moussa Kounta

Publication date 30 August 2018

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

Copyright license Creative Commons Attribution 4.0 International

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

Mathematics Subject Classification ID

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

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Cites work

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• scientific article; zbMATH DE number 3664138 (Why is no real title available?)
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• Applied stochastic processes.
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• Conformal invariance and $2D$ statistical physics
• First hitting problems for Markov chains that converge to a geometric Brownian motion
• On a discrete version of the CIR process
• Quadratic-Variation-Based Dynamic Strategies

Cited in

(5)

• First hitting place probabilities for a discrete version of the Ornstein-Uhlenbeck process
• A Discrete Bessel Process and Its Properties
• The gambler's ruin problem for a Markov chain related to the Bessel process
• First hitting problems for Markov chains that converge to a geometric Brownian motion
• Approximation of the first passage time distribution for the birth-death processes

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