On mean exit time from a curvilinear domain

DOI10.1016/J.SPL.2008.04.005zbMath1167.60019OpenAlexW2090573083MaRDI QIDQ956351

Cloud Makasu

Publication date: 25 November 2008

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2008.04.005

zbMATH Keywords

option pricingmean exit timecoupled diffusioncurvelinear domain

Mathematics Subject Classification ID

Diffusion processes (60J60) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (3)

Recovering a distribution from its translated fractional moments ⋮ A note on FBSDE characterization of mean exit times ⋮ Controlling a stopped diffusion process to reach a goal

Cites Work

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