On the first passage time for Brownian motion subordinated by a lévy process

Journal of Applied Probability

Volumn 46, Issue 1, 2009, Pages 181-198

  Hurd, T R ^a   Kuznetsov, A ^b  

^a MCMASTER UNIVERSITY   (Canada)

^b YORK UNIVERSITY   (Canada)

Author keywords

Brownian motion; Financial models; First passage; L vy subordinator; Stopping time; Time change

Indexed keywords

EID: 64249155094     PISSN: 00219002     EISSN: None     Source Type: Journal    
DOI: 10.1239/jap/1238592124     Document Type: Article

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