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 |
URI: | http://hdl.handle.net/2445/50787 |
Related resource: | http://dx.doi.org/10.1103/PhysRevE.86.041116 |
ISSN: | 1539-3755 |
Appears in Collections: | Articles publicats en revistes (Física de la Matèria Condensada) |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
618608.pdf | 261.9 kB | Adobe PDF | View/Open |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.