Uniswap V3, Financial Engineering, Stochastic Process, Pricing, Martingales.
More The best material for first-hitting time comes from Shreve’s “Stochastic Calculus for Finance II” in section 3.6. For a Brownian motion,W_t the first hitting time can be defined as: We want to deal with a more interesting stopping time, which has two boundaries (a,b): For this new stopping