A cumulant approach for the first-passage-time problem of the Feller square-root process
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Publication:2661059
DOI10.1016/j.amc.2020.125707zbMath1478.60145arXiv2006.12073OpenAlexW3091954629MaRDI QIDQ2661059
Giuseppe D'Onofrio, Elvira di Nardo
Publication date: 1 April 2021
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2006.12073
Related Items (5)
Approximating the first passage time density from data using generalized Laguerre polynomials ⋮ Modeling volatility of disaster-affected populations: a non-homogeneous geometric-skew Brownian motion approach ⋮ Numerical conservation issues for jump Pearson diffusions ⋮ Time-inhomogeneous Feller-type diffusion process with absorbing boundary condition ⋮ Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation
Uses Software
Cites Work
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