On Integral Equations Arising in the First-Passage Problem for Brownian Motion

By Goran Peskir. 2002

92 citations recorded by the source corpus.

Subfields: Statistical and Nonlinear Physics

View Paper: https://www.semanticscholar.org/paper/873fdee39abae99c0da2e510f9cdd35c16680e87

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In Statistical and Nonlinear Physics

1. Goran Peskir

Citations in the corpus

• A McKean–Vlasov equation with positive feedback and blow-ups (2018, background): “This is a Volterra integral equation of the first kind, and a derivation can be obtained by following [15].”
• ON THE AMERICAN OPTION PROBLEM (2005, methodology): “The main purpose of the present paper is to show that the uniqueness problem of (2.21) can be answered affirmatively by means of the change-of-variable formula with local time on curves derived recently in Peskir (2002).”