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Keywords
(2)
brownian motion
Random Walk
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(2)
Di usion Processes and Their Sample Paths
Approximation of stopped Brownian local time by diadic crossing chains
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On the Random Walk and Brownian Motion
On the Random Walk and Brownian Motion,10.2307/1993657,Transactions of The American Mathematical Society,Frank B. Knight
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On the Random Walk and Brownian Motion
(
Citations: 21
)
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Frank B. Knight
Journal:
Transactions of The American Mathematical Society  TRANS AMER MATH SOC
, vol. 103, no. 2, pp. 218218, 1962
DOI:
10.2307/1993657
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Citation Context
(9)
...This method is a modification of the one given by Frank Knight in 1962 [
7
]...
Tamás Szabados
.
Selfintersection Local Time of Planar Brownian Motion Based on a Stro...
...Our method is a modification of the one given by Frank Knight in 1962 [
5
]...
Tamás Szabados
,
et al.
Stochastic Integration Based on Simple, Symmetric Random Walks
...S following a BlackScholes model driven by a Brownian motion B. We build a sequence of random walks approaching B, following the construction of [
4
], and to this sequence we associate the CoxRossRubinstein models in such a way that holds the convergence of binomial prices for the risky assets (denoted by Sn) to S. For each n, the maximal expectation of profit for the associated CoxRossRubinstein model is denoted by S...
François Coquet
,
et al.
Convergence of values in optimal stopping and convergence of optimal s...
...The prototype of such eorts was the construction of Brownian motion (BM = Wiener process) as an almost sure limit of simple RW paths, given by Frank Knight in 1962 [
6
]...
Tamás Szabados
,
et al.
An elementary approach to Brownian local time based on simple, symmetr...
...We mention a series of works by Knight ([
65
, 66, 67])...
...dissertation, Knight [
65
] developed a construction of Brownian motion as a limit (uniform in finite time intervals a.s.) of random walks...
Jan Obloj
.
The Skorokhod embedding problem and its offspring
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Citations
(21)
An exponential functional of random walks
(
Citations: 2
)
Tamas Szabados
,
Balazs Szekely
Journal:
Journal of Applied Probability  J APPL PROBAB
, vol. 40, no. 2, pp. 413426, 2010
Selfintersection Local Time of Planar Brownian Motion Based on a Strong Approximation by Random Walks
Tamás Szabados
Journal:
Journal of Theoretical Probability  J THEOR PROBABILITY
, pp. 138, 2010
Stochastic Integration Based on Simple, Symmetric Random Walks
(
Citations: 1
)
Tamás Szabados
,
Balázs Székely
Journal:
Journal of Theoretical Probability  J THEOR PROBABILITY
, vol. 22, no. 1, pp. 203219, 2009
Finite approximation schemes for Lévy processes, and their application to optimal stopping problems
(
Citations: 9
)
Alex Szimayer
,
Ross A. Maller
Journal:
Stochastic Processes and Their Applications  STOCH PROC APPL
, vol. 117, no. 10, pp. 14221447, 2007
Convergence of values in optimal stopping and convergence of optimal stopping times
(
Citations: 8
)
François Coquet
,
Sandrine Toldo
Published in 2005.