On exit times of multivariate random walk with some applications to finance

DOI10.1016/j.na.2005.01.083zbMath1159.60346OpenAlexW2094223015MaRDI QIDQ999556

Jewgeni H. Dshalalow

Publication date: 4 February 2009

Published in: Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.na.2005.01.083

Mathematics Subject Classification ID

Related Items (13)

Time sensitive analysis of independent and stationary increment processes ⋮ On multivariate antagonistic marked point processes ⋮ Discrete versus continuous operational calculus in antagonistic stochastic games ⋮ On fluctuations of a multivariate random walk with some applications to stock options trading and hedging ⋮ Layers of noncooperative games ⋮ Random Walk Analysis in Antagonistic Stochastic Games ⋮ Level crossings of an oscillating marked random walk ⋮ Random walk analysis of parallel queueing stations ⋮ Maintenance in single-server queues: a game-theoretic approach ⋮ On Strategic Defense in Stochastic Networks ⋮ Decomposing correlated random walks on common and counter movements ⋮ Characterizations of random walks on random lattices and their ramifications ⋮ Multilayers in a modulated stochastic game

Cites Work

• On the level crossing of multi-dimensional delayed renewal processes
• A Guide to First-Passage Processes
• Fluctuation theory in continuous time
• Fluctuations of Recurrent Processes and Their Applications to the Stock Market
• Unnamed Item

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