Work

Hitting time for one class of Gaussian proccesses

Year: 2024

Type: preprint

Abstract: In this paper we propose the method to find the hitting probabilities for Gaussian integrators. Using second quantization we obtain the sseries representation for such probabilities despite the fact that integrators can be non-Markov processes.

Source: arXiv (Cornell University)

DOI: 10.48550/arxiv.2409.13797

Authors: Wang, Qingsong, Dorogovtsev, A. A.

Institutions: Jilin University, National Academy of Sciences of Ukraine, Institute of Mathematics

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W4403752397

Cites:

Cited by:

Related to: 10