First-passage times of two-dimensional Brownian motion
From MaRDI portal
Publication:2963684
Recommendations
- On the first passage problem for correlated Brownian motion
- scientific article; zbMATH DE number 1067971
- First passage times of two-dimensional correlated processes: analytical results for the Wiener process and a numerical method for diffusion processes
- On correlations between certain random variables associated with first passage Brownian motion
- Similarity solutions of first-passage problems for two-dimensional Wiener processes
Cited in
(27)- Collateralized Borrowing and Default Risk
- Decision with multiple alternatives: geometric models in higher dimensions -- the cube model
- First-passage-time distribution for variable-diffusion processes
- Extreme value theory for a sequence of suprema of a class of Gaussian processes with trend
- Valuation of risk-based premium of DB pension plan with terminations
- A note on the distribution of multivariate Brownian extrema
- First passage sets of the 2D continuum Gaussian free field
- First-Passage Distributions of Bidimensional Processes
- Closed-form solutions for the probability distribution of time-variant maximal value processes for some classes of Markov processes
- A new approach for time-variant probability density function of the maximal value of stochastic dynamical systems
- A novel method based on augmented Markov vector process for the time-variant extreme value distribution of stochastic dynamical systems enforced by Poisson white noise
- Exact asymptotics of component-wise extrema of two-dimensional Brownian motion
- Uniqueness of first passage time distributions via Fredholm integral equations
- First passage time statistics of Brownian motion with purely time dependent drift and diffusion
- On the duration of an epidemic
- Finite-time ruin probability for correlated Brownian motions
- A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation
- First-passage time distribution of a Brownian motion: two unexpected journeys
- The First Passage Time Density of Brownian Motion and the Heat Equation with Dirichlet Boundary Condition in Time Dependent Domains
- On the first exit time of geometric Brownian motion from stochastic exponential boundaries
- Simulation of reflected Brownian motion on two dimensional wedges
- Tail asymptotics for the delay in a Brownian fork-join queue
- Asymptotics and approximations of ruin probabilities for multivariate risk processes in a Markovian environment
- Credit risk propagation in structural-form models
- Brownian motion in wedges, last passage time and the second arc-sine law
- scientific article; zbMATH DE number 1817219 (Why is no real title available?)
- First-exit-time problems for two-dimensional Wiener and Ornstein–Uhlenbeck processes through time-varying ellipses
This page was built for publication: First-passage times of two-dimensional Brownian motion
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2963684)
