On Dufresne's Perpetuity, Translated and Reflected

DOI10.1142/9789812702852_0016zbMath1323.60113OpenAlexW2317174130MaRDI QIDQ3576788

Marc Yor, Paavo H. Salminen

Publication date: 2 August 2010

Published in: Stochastic Processes and Applications to Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9789812702852_0016

zbMATH Keywords

Bessel processhitting timeslocal timeBrownian motion with driftgeometric Brownian motionoccupation timesLamperti's transformation

Mathematics Subject Classification ID

Brownian motion (60J65) Diffusion processes (60J60) Local time and additive functionals (60J55)

Related Items (2)

Some perpetual integral functionals of the three-dimensional Bessel process ⋮ Asymmetric skew Bessel processes and their applications to finance

This page was built for publication: On Dufresne's Perpetuity, Translated and Reflected