Some integral functionals of reflected SDEs and their applications in finance
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Publication:3169213
DOI10.1080/14697681003785926zbMath1217.91217OpenAlexW3121812732MaRDI QIDQ3169213
Xuewei Yang, Yong Jin Wang, Li Jun Bo
Publication date: 28 April 2011
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697681003785926
Related Items (29)
Parameter estimation for generalized diffusion processes with reflected boundary ⋮ On the reflected Ornstein-Uhlenbeck process with catastrophes ⋮ The hitting time density for a reflected Brownian motion ⋮ First passage times of reflected Ornstein-Uhlenbeck processes with two-sided jumps ⋮ Sequential maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes ⋮ Maximum likelihood estimation for the reflected stochastic linear system with a large signal ⋮ Exit times, undershoots and overshoots for reflected CIR process with two-sided jumps ⋮ Standard and fractional reflected Ornstein–Uhlenbeck processes as the limits of square roots of Cox–Ingersoll–Ross processes ⋮ Lévy risk model with two-sided jumps and a barrier dividend strategy ⋮ Nadaraya-Watson estimators for reflected stochastic processes ⋮ Neural network stochastic differential equation models with applications to financial data forecasting ⋮ Sequential maximum likelihood estimation for reflected generalized Ornstein-Uhlenbeck processes ⋮ Asymptotic behaviour of the trajectory fitting estimator for reflected Ornstein-Uhlenbeck processes ⋮ Smooth-pasting property on reflected Lévy processes and its applications in credit risk modeling ⋮ Optimal processing rate and buffer size of a jump-diffusion processing system ⋮ On the conditional default probability in a regulated market with jump risk ⋮ First Passage Times of Constant-Elasticity-of-Variance Processes with Two-Sided Reflecting Barriers ⋮ Parameter estimation for reflected Ornstein-Uhlenbeck processes with discrete observations ⋮ FIRST PASSAGE TIMES OF REFLECTED GENERALIZED ORNSTEIN–UHLENBECK PROCESSES ⋮ Maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes ⋮ Parameter estimation for non-stationary reflected Ornstein-Uhlenbeck processes driven by \(\alpha\)-stable noises ⋮ A general lower bound of parameter estimation for reflected Ornstein–Uhlenbeck processes ⋮ Asymptotic behaviour of parametric estimation for nonstationary reflected Ornstein-Uhlenbeck processes ⋮ First Passage Times of (Reflected) Ornstein-Uhlenbeck Processes Over Random Jump Boundaries ⋮ On pricing barrier control in a regime-switching regulated market ⋮ A Computational Approach to First Passage Problems of Reflected Hyperexponential Jump Diffusion Processes ⋮ Optimal pricing barriers in a regulated market using reflected diffusion processes ⋮ Well-Posedness and Stability Analysis of Two Classes of Generalized Stochastic Volatility Models ⋮ Piecewise-tunneled captive processes and corridored random particle systems
Cites Work
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- Stochastic differential equations with reflecting boundary conditions
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