A one-dimensional diffusion hits points fast
From MaRDI portal
Publication:287807
DOI10.1214/16-ECP4544zbMath1338.60197arXiv1508.03822OpenAlexW2964181498MaRDI QIDQ287807
Cameron Bruggeman, Johannes Ruf
Publication date: 23 May 2016
Published in: Electronic Communications in Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1508.03822
Related Items (9)
Fine properties of the optimal Skorokhod embedding problem ⋮ Robust utility maximization with nonlinear continuous semimartingales ⋮ No arbitrage in continuous financial markets ⋮ On the relation of one-dimensional diffusions on natural scale and their speed measures ⋮ On the conditional small ball property of multivariate Lévy-driven moving average processes ⋮ Volatility and arbitrage ⋮ NONPARAMETRIC IDENTIFICATION OF THE MIXED HAZARD MODEL USING MARTINGALE-BASED MOMENTS ⋮ Projections of scaled Bessel processs ⋮ Approximating exit times of continuous Markov processes
This page was built for publication: A one-dimensional diffusion hits points fast