Keyword: diffusion process

Found 5 papers in total
Optimal Multiple Stopping of Linear Diffusions
Optimal Multiple Stopping of Linear Diffusions
2008,
Motivated by the analysis of financial instruments with multiple exercise rights of...
Approximating the GI/G/1+GI Queue with a Nonlinear Drift Diffusion: Hazard Rate Scaling in Heavy Traffic
Approximating the GI/G/1+GI Queue with a Nonlinear Drift Diffusion: Hazard Rate Scaling in Heavy Traffic
2008,
We study a single–server queue, operating under the...
Modeling Greek equity prices using jump diffusion processes
Modeling Greek equity prices using jump diffusion processes
2006,
This study compares two popular jump diffusion models using equity data from the Greek...
A diffusion model for growth stocks
A diffusion model for growth stocks
2004,
Since growth stocks tend to have low or even negative earnings and high volatility, it...
Brownian local times
Brownian local times
1995,
In this paper explicit formulas are given for the distribution functions and the...
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