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The Hitting Time Density for a Reflected Brownian Motion

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  • Qin Hu
  • Yongjin Wang
  • Xuewei Yang

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Suggested Citation

  • Qin Hu & Yongjin Wang & Xuewei Yang, 2012. "The Hitting Time Density for a Reflected Brownian Motion," Computational Economics, Springer;Society for Computational Economics, vol. 40(1), pages 1-18, June.
    • Handle: RePEc:kap:compec:v:40:y:2012:i:1:p:1-18
    DOI: 10.1007/s10614-011-9264-0
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    References listed on IDEAS

    as
    1. Lijun Bo & Yongjin Wang & Xuewei Yang, 2010. "Some integral functionals of reflected SDEs and their applications in finance," Quantitative Finance, Taylor & Francis Journals, vol. 11(3), pages 343-348.
    2. Black, Fischer & Cox, John C, 1976. "Valuing Corporate Securities: Some Effects of Bond Indenture Provisions," Journal of Finance, American Finance Association, vol. 31(2), pages 351-367, May.
    3. Vadim Linetsky, 2004. "Lookback options and diffusion hitting times: A spectral expansion approach," Finance and Stochastics, Springer, vol. 8(3), pages 373-398, August.
    4. Dirk Veestraeten, 2004. "The Conditional Probability Density Function for a Reflected Brownian Motion," Computational Economics, Springer;Society for Computational Economics, vol. 24(2), pages 185-207, September.
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    Citations

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    Cited by:

    1. Jackson Loper, 2020. "Uniform Ergodicity for Brownian Motion in a Bounded Convex Set," Journal of Theoretical Probability, Springer, vol. 33(1), pages 22-35, March.
    2. Zheng Han & Yaozhong Hu & Chihoon Lee, 2016. "Optimal pricing barriers in a regulated market using reflected diffusion processes," Quantitative Finance, Taylor & Francis Journals, vol. 16(4), pages 639-647, April.
    3. Herrmann, Samuel & Massin, Nicolas, 2023. "Exact simulation of the first passage time through a given level of jump diffusions," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 203(C), pages 553-576.
    4. Ning Cai & Xuewei Yang, 2021. "A Computational Approach to First Passage Problems of Reflected Hyperexponential Jump Diffusion Processes," INFORMS Journal on Computing, INFORMS, vol. 33(1), pages 216-229, January.
    5. Lijun Bo & Yongjin Wang & Xuewei Yang, 2014. "On the Default Probability in a Regime-Switching Regulated Market," Methodology and Computing in Applied Probability, Springer, vol. 16(1), pages 101-113, March.

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