Efficient Estimation of First Passage Time Density Function for Jump-Diffusion Processes (Q5318326)
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scientific article; zbMATH DE number 2207127
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient Estimation of First Passage Time Density Function for Jump-Diffusion Processes |
scientific article; zbMATH DE number 2207127 |
Statements
Efficient Estimation of First Passage Time Density Function for Jump-Diffusion Processes (English)
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22 September 2005
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Monte Carlo simulation
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Brownian motion
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Brownian bridge
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jump-diffusion
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first passage time
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Poisson process
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inverse Gaussian density
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