Time homogeneous diffusion with drift and killing to meet a given marginal
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Publication:2258833
DOI10.1016/j.spa.2014.11.006zbMath1327.60157arXiv1307.3413OpenAlexW1987077241MaRDI QIDQ2258833
Publication date: 27 February 2015
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1307.3413
Cites Work
- A diffusion-type process with a given joint law for the terminal level and supremum at an independent exponential time
- Time homogeneous diffusions with a given marginal at a deterministic time
- Can time-homogeneous diffusions produce any distribution?
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- LOCAL VARIANCE GAMMA AND EXPLICIT CALIBRATION TO OPTION PRICES
- Using Additive Functionals to Embed Preassigned Distributions in Symmetric Stable Processes
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