22 citations · 55 across the 16 of their papers we have counts for
1 paper · 1 filter
Tomasz R. Bielecki, Ziteng Cheng, Ruoting Gong
In this paper we obtain a Wiener-Hopf type factorization for a real-valued arithmetic Brownian motion with time-dependent drift and volatility. To the best of our knowledge, this p…