First hitting problems for Markov chains that converge to a geometric Brownian motion

DOI10.5402/2011/346503zbMath1244.60071OpenAlexW2091692049WikidataQ58689256 ScholiaQ58689256MaRDI QIDQ410646

Mario Lefebvre, Moussa Kounta

Publication date: 3 April 2012

Published in: ISRN Discrete Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.5402/2011/346503

zbMATH Keywords

Markov chainsgeometric Brownian motionhitting problems

Mathematics Subject Classification ID

Brownian motion (60J65) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Related Items (2)

First passage time of a Markov chain that converges to Bessel process ⋮ On a discrete version of the CIR process

Cites Work

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• Applied stochastic processes.
• First hitting place probabilities for a discrete version of the Ornstein-Uhlenbeck process
• On a non-homogeneous difference equation from probability theory
• First Passage Problems for Asymmetric Wiener Processes
• First-Passage Problems for Asymmetric Diffusions and Skew-diffusion Processes

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