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Hitting time for Bessel processes - walk on moving spheres algorithm (WoMS)
International audience -
Time-Changed Bessel Processes and Credit Risk
The Constant Elasticity of Variance (CEV) model is mathematically presented and then used in a Credit-Equity hybrid framework. Next, we propose extensions to the CEV... -
Localizing Volatilities
We propose two main applications of Gy\"{o}ngy (1986)'s construction of inhomogeneous Markovian stochastic differential equations that mimick the one-dimensional... -
Some two-dimensional extensions of Bougerol's identity in law for the exponen...
We present a two-dimensional extension of an identity in distribution due to Bougerol \cite{Bou} that involves the exponential functional of a linear Brownian motion.... -
Bernstein processes described by forward and backward heat equations
We present some results on Bernstein processes which are Brownian diffusions that appear in Euclidean Quantum Mechanics: We express the distributions of these...
