The last zero-crossing of an iterated brownian motion with drift
نویسندگان
چکیده
منابع مشابه
Predicting the Last Zero of Brownian Motion with Drift
τ∗ = inf { t ∈ [0, T ] | B t ≤ b−(t) or B t ≥ b+(t) } where the function t 7→ b−(t) is continuous and increasing on [0, T ] with b−(T ) = 0 , the function t 7→ b+(t) is continuous and decreasing on [0, T ] with b+(T ) = 0 , and the pair b− and b+ can be characterised as the unique solution to a coupled system of nonlinear Volterra integral equations. This also yields an explicit formula for V∗ ...
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ژورنال
عنوان ژورنال: Stochastics
سال: 2019
ISSN: 1744-2508,1744-2516
DOI: 10.1080/17442508.2019.1624752