The moving-eigenvalue method: hitting time for Itô processes and moving boundaries

DOI10.1088/1751-8121/ab9c59OpenAlexW3083419733MaRDI QIDQ5870723

Martin N. P. Nilsson

Publication date: 23 January 2023

Published in: Journal of Physics A: Mathematical and Theoretical (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1088/1751-8121/ab9c59

zbMATH Keywords

moving boundaryeigenfunction expansionspectral methodsItô processfirst-passage timeSturm-Liouville theoryfirst-exit time

Mathematics Subject Classification ID

Quantum theory (81-XX) Statistical mechanics, structure of matter (82-XX)

Uses Software

• DLMF

Cites Work

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