On a stopped functional for a bidimensional process

DOI10.1016/J.CHAOS.2011.07.016MaRDI QIDQ2393216zbMATHOpenAlexFDO

Authors Cloud Makasu

Publication date 7 August 2013

Published in Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL http://www.sciencedirect.com/science/article/pii/S0960077911001536

zbMATH Keywords

Ornstein-Uhlenbeck processbidimensional processgeometric Brownian motionmathematical financemethod of similarity solutions

Mathematics Subject Classification ID

Diffusion processes (60J60) Stopping times; optimal stopping problems; gambling theory (60G40)

Recommendations

• A note on explicit bounds for a stopped Feynman-Kac functional
• Comment on ``On a stopped functional for a bidimensional process by C. Makasu
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Cites work

• scientific article; zbMATH DE number 3834473 (Why is no real title available?)
• scientific article; zbMATH DE number 1089126 (Why is no real title available?)
• A stopped Brownian motion formula
• The First Passage Problem for a Continuous Markov Process

Cited in

(4)

• Hidden geometry of bidirectional grid-constrained stochastic processes
• A note on explicit bounds for a stopped Feynman-Kac functional
• Comment on ``On a stopped functional for a bidimensional process by C. Makasu
• scientific article; zbMATH DE number 3193227 (Why is no real title available?)

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