Results 21 to 30 of about 59 (59)
Pricing equity default swaps under the jump-to-default extended CEV model
Default, Credit default swaps, Equity default swaps, Credit spread, Corporate bonds, Equity derivatives, Credit derivatives, CEV model, Jump-to-default extended CEV model, 60J35, 60J60, 60J65, 60G70, G12, G13,
Rafael Mendoza-Arriaga, Vadim Linetsky
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On the Local Time of Anisotropic Random Walk on Z2
We study the local time of the anisotropic random walk on the two-dimensional lattice Z2 , by establishing the exact asymptotic behavior of the N- step return probability to the origin.
Csáki, Endre, Földes, Antónia
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A characterization of the Brownian ratchet by a Skorohod-type equation [PDF]
, 2014 We formulate using a Skorohod-type equation a process with the following properties and call it a Brownian ratchet with the integer-valued moving boundary(BRIMB).
Itomoto, Masahiko, Isozaki, Yasuki
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, 1996 The paper deals with one-dimensional Brownian motion perturbed when it hits its minimum and/or its maximum. It first presents some features of perturbed reflected Brownian motion defined as jBj \Gamma ¯` where B is standard Brownian motion, ` its local ...
Mihael Perman, Wendelin Werner
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, 2006 The paper deals with one-dimensional homogeneous stochastic differential inclusions without drift with a Borel measurable right side. Using a new method of explicit solutions, the necessary and sufficient conditions for the existence of weak solutions of
Anton
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Asymptotic behaviour of disconnection and nonintersection exponents
, 1997 We study the asymptotic behaviour of disconnection and non-intersection exponents for planar Brownian motion when the number of considered paths tends to infinity.
Wendelin Werner
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Martingale Characterizations of Stochastic Processes on Locally Compact Groups
, 1999 By a classical result of P. L'evy, the Brownian motion (B t ) t0 on R may be characterized as a continuous process on R such that (B t ) t0 and (B 2 t \Gamma t) t0 are martingales. Generalizations of this result are usually obtained in the setting
Michael Voit
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Average Case Behavior of Random Search for the Maximum
, 2007 This paper is a study of the error in approximating the global maximum of a Brownian motion on the unit interval by observing the value at randomly chosen points.
Peter W. Glynn, James Calvin
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Favourite sites of transient Brownian motion
We present an accurate description for the location of maximum of d-dimensional Brownian motion. In case d = 1, this is a well-known theorem of Csáki et al. (1987a).
Hu, Yueyun, Shi, Zhan
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Decomposing the Brownian path via the range process
We decompose the Brownian trajectory from extremes, via the inverse of the range process. This allows us to construct a martingale which satisfies the chaotic property representation and is closely connected to parabolic martingale.60G17 60G40 60G44 ...
Vallois, P.
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