From Pseudorandom Walk to Pseudo-Brownian Motion: First Exit Time from a One-Sided or a Two-Sided Interval
Work
Year: 2014
Type: article
Abstract: Let $N$ be a positive integer, $c$ be a positive constant and $(U_n)_{n\ge 1}$ be a sequence of independent identically distributed pseudo-random variables. We assume that the $U_n$'s take their value... more
Author Aimé Lachal
Institutions Centre National de la Recherche Scientifique, Institut National des Sciences Appliquées de Lyon, Université Claude Bernard Lyon 1, institut Camille-Jordan
Cites: 26
Cited by: 13
Related to: 10
FWCI: 2.179
Citation percentile (by year/subfield): 89.47
Subfield: Finance
Domain: Social Sciences
Open Access status: gold