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On the first passage over the one-sided stochastic boundary

Z. Vondraček


Full text: english pdf 119 Kb

page 171-173

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Abstract

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.

Keywords

Itô diffusion; the first-passage time; one-sided stochastic boundary

Hrčak ID:

1809

URI

https://hrcak.srce.hr/1809

Publication date:

20.12.1997.

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