Joint Densities of First Hitting Times of a Diffusion Process Through Two Time-Dependent Boundaries

DOI10.1239/aap/1396360109zbMath1304.60086arXiv1403.1756MaRDI QIDQ5415099

Ottavia Telve, Laura Sacerdote, Cristina Zucca

Publication date: 9 May 2014

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1403.1756

zbMATH Keywords

copula; Brownian motion; diffusion process; Ornstein-Uhlenbeck process; first hitting time

Mathematics Subject Classification ID

60J25: Continuous-time Markov processes on general state spaces

65R20: Numerical methods for integral equations

60G40: Stopping times; optimal stopping problems; gambling theory

60J60: Diffusion processes

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