Three dimensional distribution of Brownian motion extrema

DOI10.1080/17442508.2012.660942zbMath1302.60045OpenAlexW2075806242MaRDI QIDQ5410811

Xianzhang Wen, Marcos Escobar, Sebastian E. Ferrando

Publication date: 17 April 2014

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2012.660942

zbMATH Keywords

method of imagesmaximumdistribution of minimum3D Wiener process

Mathematics Subject Classification ID

Stochastic processes (60G99) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Distribution theory (60E99)

Related Items (6)

Closed-Form Pricing of Two-Asset Barrier Options with Stochastic Covariance ⋮ Simulation of reflected Brownian motion on two dimensional wedges ⋮ Two asset-barrier option under stochastic volatility ⋮ Transition Probability of Brownian Motion in the Octant and its Application to Default Modelling ⋮ A note on the distribution of multivariate Brownian extrema ⋮ On correlated defaults and incomplete information

Cites Work

• Unnamed Item
• On the first passage problem for correlated Brownian motion
• Double Lookbacks
• The method of images and the solution of certain partial differential equations
• Hitting Lines with Two-Dimensional Brownian Motion
• On the Transformation of Diffusion Processes into the Wiener Process
• The method of images and Green's function for spherical domains
• Two asset-barrier option under stochastic volatility

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