Parisian time of reflected Brownian motion with drift on rays and its application in banking
Year of publication: |
2020
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Authors: | Dassios, Angelos ; Zhang, Junyi |
Published in: |
Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 8.2020, 4/127, p. 1-14
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Subject: | Brownian motion | Parisian time | exact simulation | real-time gross settlement system | Theorie | Theory | Stochastischer Prozess | Stochastic process |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/risks8040127 [DOI] hdl:10419/258080 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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