Handbook of Brownian Motion - Facts and Formulae (Second Edition)

By A. Borodin, Paavo Salminen. 2003

204 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/f05f3576e51a889e7ca02e98cec482f441538149

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1. Stéphane Villeneuve
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Citations in the corpus

• Representations of the First Hitting Time Density of an Ornstein-Uhlenbeck Process (2005, unknown): “2) and the chain rule, we deduce that dP (λ) x|Ft = exp ( λ(U(2) t − x(2) − t) ) dP (−λ) x|Ft for t > 0, as found in [2].”
• On the value of optimal stopping games (2006, background): “The results are illustrated explicitly in two examples.”