Stručni rad
On the first passage over the one-sided stochastic boundary
Z. Vondraček
Sažetak
We present two methods on how to compute the distribution of an
Itô diffusion at the first moment it becomes smaller than a function of its current maximum.
Ključne riječi
Itô diffusion; the first-passage time; one-sided stochastic boundary
Hrčak ID:
1809
URI
Datum izdavanja:
20.12.1997.
Posjeta: 924 *