Pages that link to "Item:Q2267603"

The following pages link to On the first passage problem for correlated Brownian motion (Q2267603):

Displaying 26 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)
• Exact asymptotics of component-wise extrema of two-dimensional Brownian motion (Q2027089) (← links)
• On correlated defaults and incomplete information (Q2031381) (← links)
• Backward stochastic differential equations with non-Markovian singular terminal conditions for general driver and filtration (Q2042792) (← links)
• Decision with multiple alternatives: geometric models in higher dimensions -- the cube model (Q2176802) (← links)
• Multidimensional hitting time results for Brownian bridges with moving hyperplanar boundaries (Q2348321) (← links)
• Valuation of risk-based premium of DB pension plan with terminations (Q2415963) (← links)
• Simulation of reflected Brownian motion on two dimensional wedges (Q2680400) (← 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)
• Finite-time ruin probability for correlated Brownian motions (Q5861813) (← links)
• An accurate and efficient approach to probabilistic conflict prediction (Q6110286) (← links)
• First-exit-time problems for two-dimensional Wiener and Ornstein–Uhlenbeck processes through time-varying ellipses (Q6550286) (← links)