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http://hdl.handle.net/2445/50787
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DC Field | Value | Language |
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dc.contributor.author | Masoliver, Jaume, 1951- | - |
dc.contributor.author | Perelló, Josep, 1974- | - |
dc.date.accessioned | 2014-03-04T08:21:55Z | - |
dc.date.available | 2014-03-04T08:21:55Z | - |
dc.date.issued | 2012 | - |
dc.identifier.issn | 1539-3755 | - |
dc.identifier.uri | http://hdl.handle.net/2445/50787 | - |
dc.description.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. | - |
dc.format.extent | 12 p. | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | eng | - |
dc.publisher | American Physical Society | - |
dc.relation.isformatof | Reproducció del document publicat a: http://dx.doi.org/10.1103/PhysRevE.86.041116 | - |
dc.relation.ispartof | Physical Review E, 2012, vol. 86, p. 041116-1-041116-12 | - |
dc.relation.uri | http://dx.doi.org/10.1103/PhysRevE.86.041116 | - |
dc.rights | (c) American Physical Society, 2012 | - |
dc.source | Articles publicats en revistes (Física de la Matèria Condensada) | - |
dc.subject.classification | Física matemàtica | - |
dc.subject.classification | Processos estocàstics | - |
dc.subject.classification | Mercat financer | - |
dc.subject.other | Mathematical physics | - |
dc.subject.other | Stochastic processes | - |
dc.subject.other | Financial market | - |
dc.title | First-passage and escape problems in the Feller process | - |
dc.type | info:eu-repo/semantics/article | - |
dc.type | info:eu-repo/semantics/publishedVersion | - |
dc.identifier.idgrec | 618608 | - |
dc.date.updated | 2014-03-04T08:21:55Z | - |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | - |
Appears in Collections: | Articles publicats en revistes (Física de la Matèria Condensada) |
Files in This Item:
File | Description | Size | Format | |
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618608.pdf | 261.9 kB | Adobe PDF | View/Open |
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