Distribution of the extremum of a mean-reverting square-root process over a finite time interval

DOI10.1023/A:1012583526178MaRDI QIDQ1779945zbMATH OpenOpenAlexFDO

Authors Alexander Moiseev

Publication date 2 June 2005

Published in Russian Physics Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1012583526178

Mathematics Subject Classification ID

Stochastic processes (60G99)

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