The first exit time of a Brownian motion from an unbounded convex domain

By Wenbo V. Li. 2003

54 citations recorded by the source corpus.

Subfields: Finance, Mathematical Physics

View Paper: https://www.semanticscholar.org/paper/010279fb355b1acfe9d912f0e2ae1a88e8550f97

How researchers see this paper

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In Finance

1. Jean-Michel Marin
2. Christian P. Robert
3. Wilfrid S. Kendall

In Mathematical Physics

1. Christian P. Robert
2. Jean-Michel Marin
3. Wilfrid S. Kendall
4. Jesper Møller
5. Ingmar Schuster
6. Kasper K. Berthelsen
7. Radford M. Neal
8. Nicolas Bousquet

Citations in the corpus

• Confidence bands for Brownian motion and applications to Monte Carlo simulation (2007, background): “…that a standard Brownian motion remains between two given boundaries is a complex question that has occupied many researchers over many years (see, e.g., Anderson, 1960; Robbins and Siegmund, 1970; Durbin, 1971; Lerche, 1986; Durbin, 1992; Daniels, 1996; Borodin and Salminen, 2002; Li, 2003).”