Journal article
Transition probability of Brownian motion in the octant and its application to default modelling
- Abstract:
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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 angular components. The main theoretical result is a solution to the original problem expressed as an expansion into special functions and an eigenvalue which has to be chosen to allow a matching of the ...
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- Publication status:
- Published
- Peer review status:
- Peer reviewed
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- Files:
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(Accepted manuscript, pdf, 1006.4KB)
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- Publisher copy:
- 10.1080/1350486X.2018.1481439
Authors
Funding
Bibliographic Details
- Publisher:
- Routledge Publisher's website
- Journal:
- Applied Mathematical Finance Journal website
- Volume:
- 25
- Issue:
- 5-6
- Pages:
- 434-465
- Publication date:
- 2018-06-18
- Acceptance date:
- 2018-05-22
- DOI:
- EISSN:
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1466-4313
- ISSN:
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1350-486X
Item Description
- Keywords:
- Pubs id:
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pubs:853485
- UUID:
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uuid:093c9f6a-ffba-4101-91d3-6fb87fb3687a
- Local pid:
- pubs:853485
- Source identifiers:
-
853485
- Deposit date:
- 2018-05-22
Terms of use
- Copyright holder:
- Informa UK Limited, trading as Taylor & Francis Group
- Copyright date:
- 2018
- Notes:
- Copyright © 2018 Informa UK Limited, trading as Taylor & Francis Group. This is the accepted manuscript version of the article. The final version is available online from Routledge at: https://doi.org/10.1080/1350486X.2018.1481439
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