First-passage and escape problems in the Feller process
The Feller process is an one-dimensional diffusion process with linear drift and state-dependent diffusion coefficient vanishing at the origin. The process is positive definite and it is this property along with its linear character that have made Feller process a convenient candidate for the modeli...
| Authors: | , |
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| Format: | article |
| Status: | Published version |
| Publication Date: | 2012 |
| Country: | España |
| Institution: | Universidad de Barcelona |
| Repository: | Dipòsit Digital de la UB |
| OAI Identifier: | oai:diposit.ub.edu:2445/50787 |
| Online Access: | https://hdl.handle.net/2445/50787 |
| Access Level: | Open access |
| Keyword: | Física matemàtica Processos estocàstics Mercat financer Mathematical physics Stochastic processes Financial market |
| Summary: | The Feller process is an one-dimensional diffusion process with linear drift and state-dependent diffusion coefficient vanishing at the origin. The process is positive definite and it is this property along with its linear character that have made Feller process a convenient candidate for the modeling of a number of phenomena ranging from single-neuron firing to volatility of financial assets. While general properties of the process have long been well known, less known are properties related to level crossing such as the first-passage and the escape problems. In this work we thoroughly address these questions. |
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