Simulation of sample paths for Gauss-Markov processes in the presence of a reflecting boundary

DOI10.1080/23311835.2017.1354469zbMath1426.60106OpenAlexW2739202789WikidataQ63434402 ScholiaQ63434402MaRDI QIDQ5193442

Enrica Pirozzi, Amelia G. Nobile, Aniello Buonocore

Publication date: 10 September 2019

Published in: Cogent Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/23311835.2017.1354469

zbMATH Keywords

simulation algorithmsrestricted Wiener and Ornstein-Uhlenbeck processesfirst passage time densities

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Diffusion processes (60J60)

Related Items (2)

Mean first-passage time in a delayed tristable system driven by correlated multiplicative and additive white noises ⋮ First-passage times and related moments for continuous-time birth-death chains

Uses Software

• sde

Cites Work

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