Multiple barrier-crossings of an Ornstein-Uhlenbeck diffusion in consecutive periods (Q5155315)
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scientific article; zbMATH DE number 7407252
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Multiple barrier-crossings of an Ornstein-Uhlenbeck diffusion in consecutive periods |
scientific article; zbMATH DE number 7407252 |
Statements
Multiple barrier-crossings of an Ornstein-Uhlenbeck diffusion in consecutive periods (English)
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6 October 2021
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Ornstein-Uhlenbeck process
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first-passage-time
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multiple barrier-crossings and joint survival function
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time-dependent barriers
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Markov process
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infinite series approximation and tail convergence
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quadrature and Monte Carlo schemes
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numerical efficiency
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