EXPLICIT BOUNDS FOR APPROXIMATION RATES OF BOUNDARY CROSSING PROBABILITIES FOR THE WIENER PROCESS

By Konstantin Borovkov, Alexander Novikov. 2005

50 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research, Mathematical Physics

View Paper: https://www.semanticscholar.org/paper/7af118cf16577c59df58c61c7d393f6baf254a68

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In Finance

1. Liqun Wang
2. Klaus Pötzelberger
3. Alexandre Leblanc

In Management Science and Operations Research

1. Liqun Wang
2. Klaus Pötzelberger

In Mathematical Physics

1. Liqun Wang
2. Klaus Pötzelberger

Citations in the corpus

• Crossing Probabilities for Diffusion Processes with Piecewise Continuous Boundaries (2006, methodology): “Moreover, it has been applied in finance (Novikov, Frishling and Kordzakhia 2003, Borovkov and Novikov 2005), change-point problems (Zeileis 2004), and engineering reliability (Ebrahimi 2005).”