A Computational Approach to First Passage Problems of Reflected Hyperexponential Jump Diffusion Processes

DOI10.1287/ijoc.2020.0980OpenAlexW3035830614MaRDI QIDQ4995066

Publication date: 23 June 2021

Published in: INFORMS Journal on Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/ijoc.2020.0980

zbMATH Keywords

first passage times martingale methods transition density ordinary integro-differential equations reflecting barrier hyperexponential distributions reflected jump diffusion processes

Mathematics Subject Classification ID

Mathematical programming (90Cxx)

Related Items (1)

Technical Note—On Matrix Exponential Differentiation with Application to Weighted Sum Distributions

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