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Distribution of the extremum of a mean-reverting square-root process over a finite time interval - MaRDI portal

Distribution of the extremum of a mean-reverting square-root process over a finite time interval

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Publication:1779945

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DOI10.1023/A:1012583526178zbMath1062.60510OpenAlexW160683502MaRDI QIDQ1779945

Alexander Moiseev

Publication date: 2 June 2005

Published in: Russian Physics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1012583526178

Mathematics Subject Classification ID

Stochastic processes (60G99)

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