On a stopped functional for a bidimensional process

DOI10.1016/J.CHAOS.2011.07.016zbMATH Open1276.60050OpenAlexW2046500584MaRDI QIDQ2393216FDOQ2393216

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

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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)

Cites Work

• Title not available (Why is that?)
• The First Passage Problem for a Continuous Markov Process
• A stopped Brownian motion formula
• Title not available (Why is that?)

Cited In (4)

• Hidden geometry of bidirectional grid-constrained stochastic processes
• A note on explicit bounds for a stopped Feynman-Kac functional
• Title not available (Why is that?)
• Comment on ``On a stopped functional for a bidimensional process by C. Makasu

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