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math.PR2019
Three essays on stopping
Eberhard Mayerhofer
First, we give a closed-form formula for first passage time of a reflected Brownian motion with drift. This modifies a formula by Perry et al (2004). Second, we show that the maxim…
math.PR2019★ 1 cited
Reforming the Wishart characteristic function
Eberhard Mayerhofer
The literature presents the characteristic function of the Wishart distribution on m times m matrices as an inverse power of the determinant of the Fourier variable, the exponent b…