A randomized first-passage problem for drifted Brownian motion subject to hold and jump from a boundary
Work
Year: 2015
Type: article
Abstract: We study an inverse first-passage-time problem for Wiener process X(t) subject to hold and jump from a boundary c. Let be given a threshold S > X(0) ≥ c, and a distribution function F on [0, +∞). The ... more
Author Mario Abundo
Institution University of Rome Tor Vergata
Cites: 24
Cited by: 1
Related to: 10
FWCI: 0.383
Citation percentile (by year/subfield): 52.77
Subfield: Finance
Domain: Social Sciences
Open Access status: green