Evaluations of barrier-crossing probabilities of Wiener paths
From MaRDI portal
(Redirected from Publication:4113202)
Cited in
(16)- One pursuer and two evaders on the line: A stochastic pursuit-evasion differential game
- Extra randomness in certain annuity models
- On integral equations arising in the first-passage problem for Brownian motion
- On the computation of the survival probability of Brownian motion with drift in a closed time interval when the absorbing boundary is a step function
- A Feynman-Kac based numerical method for the exit time probability of a class of transport problems
- Computations of boundary crossing probabilities for the wiener process
- An asymptotic expansion for one-sided Brownian exit densities
- The tangent approximation to one-sided Brownian exit densities
- Refined distributions for a multi-risk stochastic process
- Pricing and static hedging of European-style double barrier options under the jump to default extended CEV model
- A Transition to Sharp Timing in Stochastic Leaky Integrate-and-Fire Neurons Driven by Frozen Noisy Input
- On Markov chain approximations for computing boundary crossing probabilities of diffusion processes
- Numerical evaluation of dynamic behavior of Ornstein-Uhlenbeck processes modified by various boundaries and its application to pricing barrier options
- American options and callable bonds under stochastic interest rates and endogenous bankruptcy
- On time-dependent boundary crossing probabilities of diffusion processes as differentiable functionals of the boundary
- Interest and mortality randomness in some annuities
This page was built for publication: Evaluations of barrier-crossing probabilities of Wiener paths
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4113202)
