scholarly journals Filtering of a reflected Brownian motion with respect to its local time

2006 ◽  
Vol 116 (4) ◽  
pp. 568-584 ◽  
Author(s):  
Giovanna Nappo ◽  
Barbara Torti
2019 ◽  
Vol 20 (03) ◽  
pp. 2050015 ◽  
Author(s):  
Hua Zhang

In this paper, we prove a moderate deviation principle for the multivalued stochastic differential equations whose proof are based on recently well-developed weak convergence approach. As an application, we obtain the moderate deviation principle for reflected Brownian motion.


1987 ◽  
Vol 74 (2) ◽  
pp. 271-287 ◽  
Author(s):  
J. R. Norris ◽  
L. C. G. Rogers ◽  
David Williams

2004 ◽  
Vol 41 (01) ◽  
pp. 1-18
Author(s):  
T. Fujita ◽  
F. Petit ◽  
M. Yor

We give some explicit formulae for the prices of two path-dependent options which combine Brownian averages and penalizations. Because these options are based on both the maximum and local time of Brownian motion, obtaining their prices necessitates some involved study of homogeneous Brownian functionals, which may be of interest in their own right.


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