Some boundary-crossing results for linear diffusion processes

Statistics and Probability Letters

Volumn 62, Issue 3, 2003, Pages 281-291

  Choi, Changsun ^a   Nam, Dougu ^a  

^a Korea Advanced Institute of Science and Technology (KAIST)   (South Korea)

Author keywords

Brownian bridge; First passage time; Last exit time; Ornstein Uhlenbeck process; Stochastic integral; Time change

Indexed keywords

EID: 0037445839     PISSN: 01677152     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-7152(03)00015-4     Document Type: Article

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