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...

Disgrifiad llawn

Manylion Llyfryddiaeth
Prif Awduron: Kaushansky, V, Lipton, A, Reisinger, C
Fformat: Journal article
Cyhoeddwyd: Routledge 2018