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, № 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, № 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, № 04, 2010, 1058  crossref
  5. Sercan Gür, Klaus Pötzelberger, “Sensitivity of boundary crossing probabilities of the Brownian motion”, Monte Carlo Methods and Applications, 25, № 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, № 2, 2021, 728  crossref
  7. Enkelejd Hashorva, Yuliya Mishura, Oleg Seleznjev, “Boundary non-crossing probabilities for fractional Brownian motion with trend”, Stochastics, 87, № 6, 2015, 946  crossref
  8. Delia Coculescu, Hélyette Geman, Monique Jeanblanc, “Valuation of default-sensitive claims under imperfect information”, Finance Stoch, 12, № 2, 2008, 195  crossref
  9. Gregor Dorfleitner, Paul Schneider, Tanja Veža, “Flexing the default barrier”, Quantitative Finance, 11, № 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, № 2, 2008, 501  crossref
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