Pages that link to "Item:Q2267603"
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The following pages link to On the first passage problem for correlated Brownian motion (Q2267603):
Displayed 17 items.
- Approximation of the first passage time density of a Wiener process to an exponentially decaying boundary by two-piecewise linear threshold. Application to neuronal spiking activity (Q335096) (← links)
- Sharp regularity near an absorbing boundary for solutions to second order SPDEs in a half-line with constant coefficients (Q744172) (← links)
- First passage times of two-dimensional correlated processes: analytical results for the Wiener process and a numerical method for diffusion processes (Q898953) (← links)
- A stochastic partial differential equation model for the pricing of mortgage-backed securities (Q1615911) (← links)
- Structural default model with mutual obligations (Q1621641) (← links)
- A note on the distribution of multivariate Brownian extrema (Q2019190) (← links)
- Multidimensional hitting time results for Brownian bridges with moving hyperplanar boundaries (Q2348321) (← links)
- Pricing credit default swaps with bilateral value adjustments (Q2879019) (← links)
- Weak Convergence of Path-Dependent SDEs in Basket Credit Default Swap Pricing with Contagion Risk (Q2953949) (← links)
- Boundary crossing probabilities for high-dimensional Brownian motion (Q3188586) (← links)
- Extremes and First Passage Times of Correlated Fractional Brownian Motions (Q3191880) (← links)
- Estimates of the Exit Probability for Two Correlated Brownian Motions (Q4915649) (← links)
- Collateralized Borrowing and Default Risk (Q4976498) (← links)
- Pricing of vanilla and first-generation exotic options in the local stochastic volatility framework: survey and new results (Q5247272) (← links)
- PRICING TWO-ASSET BARRIER OPTIONS UNDER STOCHASTIC CORRELATION VIA PERTURBATION (Q5256837) (← links)
- Two asset-barrier option under stochastic volatility (Q5373915) (← links)
- Three dimensional distribution of Brownian motion extrema (Q5410811) (← links)