A Computational Approach to First Passage Problems of Reflected Hyperexponential Jump Diffusion Processes (Q4995066)
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scientific article; zbMATH DE number 7362312
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Computational Approach to First Passage Problems of Reflected Hyperexponential Jump Diffusion Processes |
scientific article; zbMATH DE number 7362312 |
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A Computational Approach to First Passage Problems of Reflected Hyperexponential Jump Diffusion Processes (English)
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23 June 2021
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first passage times
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reflected jump diffusion processes
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hyperexponential distributions
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reflecting barrier
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transition density
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ordinary integro-differential equations
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martingale methods
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