A diffusion-type process with a given joint law for the terminal level and supremum at an independent exponential time

DOI10.1016/j.spa.2011.07.009zbMath1235.60107OpenAlexW2092791752MaRDI QIDQ645596

Martin Forde

Publication date: 10 November 2011

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2011.07.009

zbMATH Keywords

excursion theorystochastic functional differential equationsSkorokhod embeddingsbarrier optionsone-dimensional diffusion processes

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Diffusion processes (60J60) Financial applications of other theories (91G80)

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Perpetual American options in diffusion-type models with running maxima and drawdowns ⋮ Distribution of the integral of maximum processes and applications ⋮ Mimicking an Itō process by a solution of a stochastic differential equation ⋮ Weak uniqueness and density estimates for SDEs with coefficients depending on some path-functionals ⋮ On the drawdowns and drawups in diffusion-type models with running maxima and minima ⋮ Time homogeneous diffusion with drift and killing to meet a given marginal ⋮ Hitting Times, Occupation Times, Trivariate Laws and the Forward Kolmogorov Equation for a One-Dimensional Diffusion with Memory

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