153 citations · 163 across the 6 of their papers we have counts for
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math.PR2018★ 2 cited
Explicit Asymptotics on First Passage Times of Diffusion Processes
Angelos Dassios, Luting Li
We introduce a unified framework for solving first passage times of time-homogeneous diffusion processes. According to the killed version potential theory and the perturbation theo…
q-fin.MF2018★ 3 cited
An Economic Bubble Model and Its First Passage Time
Angelos Dassios, Luting Li
We introduce a new diffusion process Xt to describe asset prices within an economic bubble cycle. The main feature of the process, which differs from existing models, is the drift…