26 citations to 10.1239/jap/1110381372 (Crossref Cited-By Service)
  1. S. Herrmann, E. Tanré, “The First-passage Time of the Brownian Motion to a Curved Boundary: an Algorithmic Approach”, SIAM J. Sci. Comput., 38, no. 1, 2016, A196  crossref
  2. Nino Kordzakhia, Alexander Novikov, Mathematical Control Theory and Finance, 2008, 251  crossref
  3. Huijie Ji, Jinghai Shao, “First passage probabilities of one-dimensional diffusion processes”, Front. Math. China, 10, no. 4, 2015, 901  crossref
  4. James C. Fu, Tung-Lung Wu, “Linear and Nonlinear Boundary Crossing Probabilities for Brownian Motion and Related Processes”, J. Appl. Probab., 47, no. 04, 2010, 1058  crossref
  5. Sercan Gür, Klaus Pötzelberger, “Sensitivity of boundary crossing probabilities of the Brownian motion”, Monte Carlo Methods and Applications, 25, no. 1, 2019, 75  crossref
  6. Enkelejd Hashorva, Yuliya Mishura, Georgiy Shevchenko, “Boundary Non-crossing Probabilities of Gaussian Processes: Sharp Bounds and Asymptotics”, J Theor Probab, 34, no. 2, 2021, 728  crossref
  7. Enkelejd Hashorva, Yuliya Mishura, Oleg Seleznjev, “Boundary non-crossing probabilities for fractional Brownian motion with trend”, Stochastics, 87, no. 6, 2015, 946  crossref
  8. Delia Coculescu, Hélyette Geman, Monique Jeanblanc, “Valuation of default-sensitive claims under imperfect information”, Finance Stoch, 12, no. 2, 2008, 195  crossref
  9. Gregor Dorfleitner, Paul Schneider, Tanja Veža, “Flexing the default barrier”, Quantitative Finance, 11, no. 12, 2011, 1729  crossref
  10. Jonathan Touboul, Olivier Faugeras, “A characterization of the first hitting time of double integral processes to curved boundaries”, Advances in Applied Probability, 40, no. 2, 2008, 501  crossref
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