Hitting times, occupation times, trivariate laws and the forward Kolmogorov equation for a one-dimensional diffusion with memory

DOI10.1239/AAP/1377868542MaRDI QIDQ2856040zbMATH OpenOpenAlexFDO

Authors Martin Forde, Andrey Pogudin, Hongzhong Zhang

Publication date 23 October 2013

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.aap/1377868542

zbMATH Keywords

stochastic functional differential equationone-dimensional diffusionoccupation time formuladiffusion with memory

Mathematics Subject Classification ID

Markov semigroups and applications to diffusion processes (47D07) Diffusion processes (60J60)

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Cited in

(5)

• Perpetual American options in diffusion-type models with running maxima and drawdowns
• Hitting, occupation and inverse local times of one-dimensional diffusions: Martingale and excursion approaches
• On the drawdowns and drawups in diffusion-type models with running maxima and minima
• Occupation times, drawdowns, and drawups for one-dimensional regular diffusions
• A forward equation for barrier options under the Brunick \& Shreve Markovian projection

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