Construction and sample path properties of Brownian house-moving between two curves

DOI10.1007/S13160-024-00678-YMaRDI QIDQ6671899zbMATH OpenFDO

Authors Kensuke Ishitani, Daisuke Hatakenaka, Keisuke Suzuki

Publication date 27 January 2025

Published in Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/S13160-024-00678-Y

zbMATH Keywords

barrier optionsBES(3)-bridgeBrownian house-movingBrownian meandergreeks

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Continuous-time Markov processes on general state spaces (60J25)

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Cites work

• Computation of first-order greeks for barrier options using chain rules for Wiener path integrals
• Density factorizations for brownian motion, meander and the three-dimensional bessel process, and applications
• scientific article; zbMATH DE number 1245556 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• Integration by parts formulae for Wiener measures on a path space between two curves
• Sampling Brownian house-moving
• The Bessel line ensemble
• The law of the maximum of a Bessel bridge
• Weak convergence to Brownian meander and Brownian excursion

Cited in

(1)

• Pattern block method for generating random numbers: reformulation and generalization of the Ziggurat method using conditional random variables

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