Brownian excursions in mathematical finance
The Brownian excursion is defined as a standard Brownian motion conditioned on starting and ending at zero and staying positive in between. The first part of the thesis deals with functionals of the Brownian excursion, including first hitting time, last passage time, maximum and the time it is achie...
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London School of Economics and Political Science (University of London)
2014
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.645940 |