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A one-dimensional diffusion hits points fast

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Publication:287807
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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


zbMATH Keywords

diffusionsupporthitting time


Mathematics Subject Classification ID

Diffusion processes (60J60)


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




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