Three dimensional distribution of Brownian motion extrema
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Publication:5410811
DOI10.1080/17442508.2012.660942zbMath1302.60045OpenAlexW2075806242MaRDI QIDQ5410811
Xianzhang Wen, Marcos Escobar, Sebastian E. Ferrando
Publication date: 17 April 2014
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442508.2012.660942
Stochastic processes (60G99) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Distribution theory (60E99)
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Cites Work
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- On the first passage problem for correlated Brownian motion
- Double Lookbacks
- The method of images and the solution of certain partial differential equations
- Hitting Lines with Two-Dimensional Brownian Motion
- On the Transformation of Diffusion Processes into the Wiener Process
- The method of images and Green's function for spherical domains
- Two asset-barrier option under stochastic volatility
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