کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1152802 1489905 2010 8 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
On the first passage problem for correlated Brownian motion
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
On the first passage problem for correlated Brownian motion
چکیده انگلیسی

Suppose that X=(X1,X2)X=(X1,X2) is two-dimensional correlated Brownian motion. Let τiτi denote the first passage time of XiXi to a fixed level, and ττ the minimum of τ1,τ2τ1,τ2. When XX has zero drift, several distributions of interest are available in closed form, including the joint density of the passage times and the distribution of X(τ)X(τ). Unfortunately these published formulae contain errors, and the corresponding distributions in the presence of drift are not expressible in closed form. The purpose of this paper is to address these issues by presenting corrected formulae and outlining a Monte Carlo algorithm for approximating quantities of interest in the presence of drift.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Statistics & Probability Letters - Volume 80, Issues 5–6, 1–15 March 2010, Pages 277–284
نویسندگان
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