On the first passage time density of a continuous Martingale over a moving boundary
| dc.creator | Hernandez-del-Valle, Gerardo | |
| dc.date | 2009-05-12 | |
| dc.date.accessioned | 2026-07-07T13:14:23Z | |
| dc.date.available | 2026-07-07T13:14:23Z | |
| dc.description | In this paper we derive the density $φ$ of the first time $T$ that a continuous martingale $M$ with non-random quadratic variation $<M>_\cdot:=\int_0^\cdot h^2(u)du$ hits a moving boundary $f$ which is twice continuously differentiable, and $f'/h\in\mathbb{C}^2[0,\infty)$. Thus, this work is an extension to case in which $M$ is in fact a one-dimensional standard Brownian motion $B$, as studied in Hernandez-del-Valle (2007). | |
| dc.identifier | https://arxiv.org/abs/0905.1975 | |
| dc.identifier | http://arxiv.org/abs/0905.1975 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/230195 | |
| dc.subject | Probability | |
| dc.subject | Analysis of PDEs | |
| dc.subject | 60J65,45D05,60J60 (Primary); 45G15 (Secondary) | |
| dc.title | On the first passage time density of a continuous Martingale over a moving boundary | |
| dc.type | text |