Path collapse for multidimensional Brownian motion with rebirth

DOI10.1016/J.SPL.2004.10.006zbMath1064.60176OpenAlexW2058435431MaRDI QIDQ1767759

Min Kang, Ilie Grigorescu

Publication date: 8 March 2005

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2004.10.006

zbMATH Keywords

harmonic measureAbsorbing Brownian motionbarrier options.collapsing paths

Mathematics Subject Classification ID

Brownian motion (60J65) Boundary theory for Markov processes (60J50)

Related Items (1)

Spectral analysis of Brownian motion with jump boundary

Cites Work

• The Dirichlet problem in non-smooth domains
• Brownian motion on the figure eight
• Path collapse for an inhomogeneous random walk
• Ergodic properties of multidimensional Brownian motion with rebirth

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