Optimal stopping of oscillating Brownian motion
نویسندگان
چکیده
منابع مشابه
Oscillating Brownian Motion
An 'oscillating' version of Brownian motion is defined and studied. 'Ordinary' Brownian motion and 'reflecting' Brownian motion are shown to arise as special cases. Transition densities, first-passage time distributions, and occupation time distributions for the process are obtained explicitly. Convergence of a simple oscillating random walk to an oscillating Brownian motion process is establis...
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ژورنال
عنوان ژورنال: Electronic Communications in Probability
سال: 2019
ISSN: 1083-589X
DOI: 10.1214/19-ecp250