scientific article
From MaRDI portal
Publication:3945340
zbMath0485.60073MaRDI QIDQ3945340
L. C. G. Rogers, R. R. London, H. P. jun. McKean, David Williams
Publication date: 1982
Full work available at URL: http://www.numdam.org/item?id=SPS_1982__16__68_0
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Brownian motion (60J65) Martingales with continuous parameter (60G44) Probabilistic potential theory (60J45) Continuous-time Markov processes on discrete state spaces (60J27) Boundary theory for Markov processes (60J50)
Related Items (10)
Pricing exotic options in a regime switching economy: a Fourier transform method ⋮ A note on martingale inequalities for fluid models ⋮ Wiener-Hopf factorisation of Brownian motion ⋮ Wiener-Hopf factorization for time-inhomogeneous Markov chains and its application ⋮ The tax identity for Markov additive risk processes ⋮ A correction note on: ``When the `bull' meets the `bear' -- a first passage time problem for a hidden Markov process ⋮ First-passage times of regime switching models ⋮ Erlangian Approximations for Finite-Horizon Ruin Probabilities ⋮ A structure-preserving doubling algorithm for nonsymmetric algebraic Riccati equation ⋮ Pricing and hedging defaultable participating contracts with regime switching and jump risk
This page was built for publication:
