Transition probability of Brownian motion in the octant and its application to default modelling
We derive a semi-analytical formula for the transition probability of three-dimensional Brownian motion in the positive octant with absorption at the boundaries. Separation of variables in spherical coordinates leads to an eigenvalue problem for the resulting boundary value problem in the two angula...
| Main Authors: | , , |
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| Format: | Journal article |
| Published: |
Routledge
2018
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