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Showing 2016 · math.PRShow all
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math.PR2016★ 5 cited
On the first hitting times of one dimensional elliptic diffusions
Noufel Frikha, Arturo Kohatsu-Higa, Libo Li
In this article, we obtain properties of the law associated to the first hitting time of a threshold by a one-dimensional uniformly elliptic diffusion process and to the associated…
math.PR2016★ 1 cited
Bridge representation and modal-path approximation
Jiro Akahori, Xiaoming Song, Tai-Ho Wang
The article shows a bridge representation for the joint density of a system of stochastic processes consisting of a Brownian motion with drift coupled with a correlated fractional…