Construction and sample path properties of Brownian house-moving between two curves

DOI10.1007/s13160-024-00678-yMaRDI QIDQ6671899

Daisuke Hatakenaka, Kensuke Ishitani, Keisuke Suzuki

Publication date: 27 January 2025

Published in: Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

greeksBrownian meanderbarrier optionsBES(3)-bridgeBrownian house-moving

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Functional limit theorems; invariance principles (60F17)

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