On first exit times and their means for Brownian bridges

DOI10.1017/jpr.2019.42zbMath1436.60075arXiv1711.06107OpenAlexW3105017545MaRDI QIDQ5235049

Christel Geiss, Antti Luoto, Paavo H. Salminen

Publication date: 7 October 2019

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1711.06107

zbMATH Keywords

Bessel processBrownian motiondiffusion processBlack-Scholes model\(h\)-transformPoisson summation formulalast exit time

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Brownian motion (60J65) Diffusion processes (60J60)

Related Items (2)

On time-inconsistent stopping problems and mixed strategy stopping times ⋮ Time-dependent weak rate of convergence for functions of generalized bounded variation

Cites Work

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• The law of the maximum of a Bessel bridge
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• On time-inconsistent stopping problems and mixed strategy stopping times
• Probability laws related to the Jacobi theta and Riemann zeta functions, and Brownian excursions
• Handbook of Monte Carlo Methods
• Time-dependent weak rate of convergence for functions of generalized bounded variation
• Brownian Local Times and Taboo Processes
• Markov Processes, Brownian Motion, and Time Symmetry
• Heuristic Approach to the Kolmogorov-Smirnov Theorems

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