On the first hitting time density for a reducible diffusion process

DOI10.1080/14697688.2020.1713394zbMath1466.91344MaRDI QIDQ4991054

Alexander Lipton-Lifschitz, Vadim Kaushansky

Publication date: 2 June 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2020.1713394

zbMATH Keywords

Ornstein-Uhlenbeck process; Abel integral equation; Volterra integral equation; pairs trading; first hitting time density; Cherkasov condition; method of heat potentials

Mathematics Subject Classification ID

91G20: Derivative securities (option pricing, hedging, etc.)

45D05: Volterra integral equations

60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)

91G40: Credit risk

Uses Software

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