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Cites work
- scientific article; zbMATH DE number 942202 (Why is no real title available?)
- Exponential functionals of Brownian motion and related processes
- Martingales, scale functions and stochastic life annuities: A note
- On skew Brownian motion
- Perpetual integral functionals as hitting and occupation times
- Sur certaines fonctionnelles exponentielles du mouvement brownien réel
- THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE
- The Laplace transform of annuities certain with exponential time distribution
- The present value of a stochastic perpetuity and the gamma distribution
- “Skew-Brownian Motion” and Derived Processes
Cited in
(8)- Efficient piecewise trees for the generalized skew Vasicek model with discontinuous drift
- Arbitrage in skew Brownian motion models
- scientific article; zbMATH DE number 1639861 (Why is no real title available?)
- Perpetual integral functionals as hitting and occupation times
- Timing in the presence of directional predictability: optimal stopping of skew Brownian motion
- A simple trinomial lattice approach for the skew-extended CIR models
- Continuous-time perpetuities and time reversal of diffusions
- Simulating diffusions with piecewise constant coefficients using a kinetic approximation
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