Computing the expectation of the Azéma-Yor stopping times

Annales de l'institut Henri Poincare (B) Probability and Statistics

Volumn 34, Issue 2, 1998, Pages 265-276

  Pedersen, J L ^a   Peskir G ^b  

^a AARHUS UNIVERSITY   (Denmark)

^b UNIVERSITY OF ZAGREB   (Croatia)

Author keywords

Bessel process; Diffusion; Infinitesimal operator; It Tanaka's formula; Normal reflection; Scale function; The Az ma Yor stopping time; The exit time; The minimality principle; Wiener process

Indexed keywords

EID: 21844435511     PISSN: 02460203     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0246-0203(98)80033-2     Document Type: Article

References (7)

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5. D. REVUZ and M. YOR, Continuous Martingales and Brownian Motion. Springer-Verlag.
6. L. C. G. ROGERS and D. WILLIAMS, Diffusions, Markov Processes, and Martingales; Volume 2: Itô's Calculus. John Wiley & Sons, 1987.
7. L. A. SHEPP and A. N. SHIRYAEV, The Russian Option: Reduced Regret. Ann. Appl. Probab. 3, 1993, pp. 631-640.