Please use this identifier to cite or link to this item: http://hdl.handle.net/2445/50787
Title: First-passage and escape problems in the Feller process
Author: Masoliver, Jaume, 1951-
Perelló, Josep, 1974-
Keywords: Física matemàtica
Processos estocàstics
Mercat financer
Mathematical physics
Stochastic processes
Financial market
Issue Date: 2012
Publisher: American Physical Society
Abstract: 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.
Note: Reproducció del document publicat a: http://dx.doi.org/10.1103/PhysRevE.86.041116
It is part of: Physical Review E, 2012, vol. 86, p. 041116-1-041116-12
Related resource: http://dx.doi.org/10.1103/PhysRevE.86.041116
URI: http://hdl.handle.net/2445/50787
ISSN: 1539-3755
Appears in Collections:Articles publicats en revistes (Física de la Matèria Condensada)

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