The hitting time density for a reflected Brownian motion

DOI10.1007/s10614-011-9264-0zbMath1282.60080OpenAlexW3121347264MaRDI QIDQ1930395

Xuewei Yang, Qin Hu, Yong Jin Wang

Publication date: 11 January 2013

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10614-011-9264-0

zbMATH Keywords

spectral representationdistribution functiondensity functionhitting timedefaultable bondreflected Brownian motionbankrupt probability

Mathematics Subject Classification ID

Brownian motion (60J65)

Related Items (11)

Scale effects in dynamic contracting ⋮ One-Dimensional Reflected Diffusions with Two Boundaries and an Inverse First-Hitting Problem ⋮ First passage times of two-dimensional correlated processes: analytical results for the Wiener process and a numerical method for diffusion processes ⋮ On the default probability in a regime-switching regulated market ⋮ Serve the shortest queue and Walsh Brownian motion ⋮ Uniform ergodicity for Brownian motion in a bounded convex set ⋮ Exact simulation of the first-passage time of diffusions ⋮ On pricing barrier control in a regime-switching regulated market ⋮ A Computational Approach to First Passage Problems of Reflected Hyperexponential Jump Diffusion Processes ⋮ Exact simulation of the first passage time through a given level of jump diffusions ⋮ Optimal pricing barriers in a regulated market using reflected diffusion processes

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