Joint Densities of First Hitting Times of a Diffusion Process Through Two Time-Dependent Boundaries
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Publication:5415099
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
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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