Título:
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First-passage and escape problems in the Feller process
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Autor/a:
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Masoliver, Jaume, 1951-; Perelló, Josep, 1974-
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Otros autores:
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Universitat de Barcelona |
Abstract:
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The Feller process is an one-dimensional diffusion process with linear drift and state-dependent diffusion coefficient vanishing at the origin. The process is positive definite and it is this property along with its linear character that have made Feller process a convenient candidate for the modeling of a number of phenomena ranging from single-neuron firing to volatility of financial assets. While general properties of the process have long been well known, less known are properties related to level crossing such as the first-passage and the escape problems. In this work we thoroughly address these questions. |
Materia(s):
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-Física matemàtica -Processos estocàstics -Mercat financer -Mathematical physics -Stochastic processes -Financial market |
Derechos:
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(c) American Physical Society, 2012
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Tipo de documento:
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Artículo Artículo - Versión publicada |
Editor:
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American Physical Society
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