A probabilistic representation for the solution of a problem of mathematical physics
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Publication:2722158
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(8)- On first hitting times for skew CIR processes
- First hitting times for doubly skewed Ornstein-Uhlenbeck processes
- On some properties of reflected skew Brownian motions and applications to dispersion in heterogeneous media
- A probabilistic interpretation of the transmission conditions using the skew Brownian motion
- Skew CIR process, conditional characteristic function, moments and bond pricing
- Multi-skewed Brownian motion and diffusion in layered media
- Hitting times for sticky skew CIR process
- Initial boundary value problems in a bounded domain: probabilistic representations of solutions and limit theorems. II
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