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Stochastics
An International Journal of Probability and Stochastic Processes
Volume 85, 2013 - Issue 5
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Original Articles

Three dimensional distribution of Brownian motion extrema

Marcos Escobar Department of Mathematics, Ryerson University, Toronto, Ontario, Canada, M5B2K3Correspondence[email protected]
,
Sebastian Ferrando Department of Mathematics, Ryerson University, Toronto, Ontario, Canada, M5B2K3
&
Xianzhang Wen Department of Mathematics, Ryerson University, Toronto, Ontario, Canada, M5B2K3
Pages 807-832 | Received 21 Feb 2011, Accepted 23 Jan 2012, Published online: 20 Mar 2012

Citations (7)

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Read on this site (2)

Vadim Kaushansky, Alexander Lipton & Christoph Reisinger. (2018) Transition Probability of Brownian Motion in the Octant and its Application to Default Modelling. Applied Mathematical Finance 25:5-6, pages 434-465.
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Barbara Goetz, Marcos Escobar & Rudi Zagst. (2017) Two asset-barrier option under stochastic volatility. Applied Mathematical Finance 24:6, pages 520-546.
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Articles from other publishers (5)

Pierre Bras & Arturo Kohatsu-Higa. (2023) Simulation of reflected Brownian motion on two dimensional wedges. Stochastic Processes and their Applications 156, pages 349-378.
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Marcos Escobar, Mirco Mahlstedt, Sven Panz & Rudi Zagst. (2017) Vulnerable Exotic Derivatives. The Journal of Derivatives 24:3, pages 84-102.
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Marcos Escobar, Mirco Mahlstedt, Sven Panz & Rudi Zagst. (2017) Vulnerable Exotic Derivatives. The Journal of Derivatives.
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Marcos Escobar & Sven Panz. (2016) A Note on the Impact of Parameter Uncertainty on Barrier Derivatives. Risks 4:4, pages 35.
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Marcos Escobar & Julio Hernandez. (2014) A Note on the Distribution of Multivariate Brownian Extrema. International Journal of Stochastic Analysis 2014, pages 1-6.
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