This paper examines alternative methods for pricing options when the underlying security
volatility is stochastic. We show that when there is no correlation between innovations in …

Diffusion models in economics, finance, queueing, mathematical biology, and electrical
engineering often involve reflecting barriers. In this paper, we study the analytical …

Asymptotic analysis of stochastic stock price models is the central topic of the present
volume. Special examples of such models are stochastic volatility models, that have been …

A stochastic model for single neuron's activity is constructed as the continuous limit of a birth-
and-death process in the presence of a reversal hyper-polarization potential. The resulting …

Abstract The Ornstein–Uhlenbeck process with reflection, which has been the subject of an
enormous body of literature, both theoretical and applied, is a process that returns …

Abstract Models in economics and other fields often require a restricted Brownian motion
because frequently implicit or explicit barriers restrict the domain. This paper contributes to …

We construct an equivalent probability description of linear multi-delay Langevin equations
subject to additive Gaussian white noise. By exploiting the time-convolutionless transform …

In this paper, we investigate the maximum likelihood estimation for the reflected Ornstein–
Uhlenbeck (ROU) processes based on continuous observations. Both the cases with one …

In this article, we investigate the parameter estimation problem for reflected Ornstein–
Uhlenbeck processes with mean reversion. Both estimates based on either continuously or …

Krugman (1991) provided a rigorous economic argument for the merits of target zone
exchange rate arrangements. His analysis revealed the existence of a stabilizing nonlinear …