Large deviations for the boundary local time of doubly reflected Brownian motion
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DOI: 10.1016/j.spl.2014.09.004
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- H. Dharma Kwon & Hongzhong Zhang, 2015. "Game of Singular Stochastic Control and Strategic Exit," Mathematics of Operations Research, INFORMS, vol. 40(4), pages 869-887, October.
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Keywords
Brownian motion; Large deviation; Local time;All these keywords.
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