Hitting times, occupation times, trivariate laws and the forward Kolmogorov equation for a one-dimensional diffusion with memory
DOI10.1239/AAP/1377868542zbMATH Open1287.60095OpenAlexW2001340133MaRDI QIDQ2856040FDOQ2856040
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
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stochastic functional differential equationone-dimensional diffusionoccupation time formuladiffusion with memory
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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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