On first exit times and their means for Brownian bridges
From MaRDI portal
Publication:5235049
DOI10.1017/jpr.2019.42zbMath1436.60075arXiv1711.06107OpenAlexW3105017545MaRDI QIDQ5235049
Christel Geiss, Antti Luoto, Paavo H. Salminen
Publication date: 7 October 2019
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1711.06107
Bessel processBrownian motiondiffusion processBlack-Scholes model\(h\)-transformPoisson summation formulalast exit time
Numerical methods (including Monte Carlo methods) (91G60) Brownian motion (60J65) Diffusion processes (60J60)
Related Items (2)
On time-inconsistent stopping problems and mixed strategy stopping times ⋮ Time-dependent weak rate of convergence for functions of generalized bounded variation
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The law of the maximum of a Bessel bridge
- The rate of convergence of the binomial tree scheme
- On hitting times of affine boundaries by reflecting Brownian motion and Bessel processes
- On time-inconsistent stopping problems and mixed strategy stopping times
- Probability laws related to the Jacobi theta and Riemann zeta functions, and Brownian excursions
- Handbook of Monte Carlo Methods
- Time-dependent weak rate of convergence for functions of generalized bounded variation
- Brownian Local Times and Taboo Processes
- Markov Processes, Brownian Motion, and Time Symmetry
- Heuristic Approach to the Kolmogorov-Smirnov Theorems
This page was built for publication: On first exit times and their means for Brownian bridges