Ao Chen

University of Illinois at Urbana-Champaign

601 E John St

Champaign, IL Champaign 61820

United States

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Scholarly Papers (1)

1.

Monitoring Error of the Supremum of a Normal Jump Diffusion Process

Journal of Applied Probability, Forthcoming
Number of pages: 14 Posted: 13 Jul 2011
Ao Chen, Liming Feng and Renming Song
University of Illinois at Urbana-Champaign, University of Illinois at Urbana-Champaign - Department of Industrial and Enterprise Systems Engineering and affiliation not provided to SSRN
Downloads 110 (460,555)

Abstract:

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normal jump diffusion process, supremum, discrete monitoring, Spitzer's identity, Euler-Maclaurin formula, Riemann zeta function, Lerch transcendent