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Boundary Crossing Probabilities of Jump Diffusion Processes to Time-Dependent Boundaries |
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| Authors: | Wu Tung-Lung |
| Affiliation: | 1.Department of Mathematics and Statistics, Mississippi State University, Starkville, MS, 39759, USA ; |
| Abstract: | Methodology and Computing in Applied Probability - The finite Markov chain imbedding technique has been used to compute the boundary crossing probabilities of one and higher-dimensional Brownian... |
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