A diffusion-type process with a given joint law for the terminal level and supremum at an independent exponential time
DOI10.1016/J.SPA.2011.07.009zbMATH Open1235.60107OpenAlexW2092791752MaRDI QIDQ645596FDOQ645596
Publication date: 10 November 2011
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2011.07.009
stochastic functional differential equationsSkorokhod embeddingsexcursion theorybarrier optionsone-dimensional diffusion processes
Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Financial applications of other theories (91G80)
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- A Guided Tour through Excursions
- On the excursion theory for linear diffusions
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Cited In (7)
- Perpetual American options in diffusion-type models with running maxima and drawdowns
- Weak uniqueness and density estimates for SDEs with coefficients depending on some path-functionals
- Distribution of the integral of maximum processes and applications
- On the drawdowns and drawups in diffusion-type models with running maxima and minima
- Hitting times, occupation times, trivariate laws and the forward Kolmogorov equation for a one-dimensional diffusion with memory
- Time homogeneous diffusion with drift and killing to meet a given marginal
- Mimicking an ItΕ process by a solution of a stochastic differential equation
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