The Randomized First-Hitting Problem of Continuously Time-Changed Brownian Motion
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- Hieber, Peter & Scherer, Matthias, 2012. "A note on first-passage times of continuously time-changed Brownian motion," Statistics & Probability Letters, Elsevier, vol. 82(1), pages 165-172.
- T. R. Hurd, 2009. "Credit risk modeling using time-changed Brownian motion," Papers 0904.2376, arXiv.org.
- T. R. Hurd, 2009. "Credit Risk Modeling Using Time-Changed Brownian Motion," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 12(08), pages 1213-1230.
- Jackson, Ken & Kreinin, Alexander & Zhang, Wanhe, 2009. "Randomization in the first hitting time problem," Statistics & Probability Letters, Elsevier, vol. 79(23), pages 2422-2428, December.
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Keywords
first-passage time; inverse first-passage problem; diffusion;All these keywords.
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