Continuous-time perpetuities and time reversal of diffusions

DOI10.1007/s00780-016-0308-0zbMath1390.91303arXiv1411.7551OpenAlexW2181491881WikidataQ59615534 ScholiaQ59615534MaRDI QIDQ503390

Scott Robertson, Constantinos Kardaras

Publication date: 12 January 2017

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1411.7551

zbMATH Keywords

Monte Carlo simulationperpetuitiesergodic diffusionstime reversal

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

On inverse-power Poisson functionals ⋮ On distributions of exponential functionals of the processes with independent increments ⋮ On Exponential Functionals of Processes with Independent Increments

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