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Exit problem for Ornstein-Uhlenbeck processes: a random walk approach - MaRDI portal

Exit problem for Ornstein-Uhlenbeck processes: a random walk approach

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Publication:6319913

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DOI10.3934/DCDSB.2020058arXiv1906.01255MaRDI QIDQ6319913

Nicolas Massin, Samuel Herrmann

Publication date: 4 June 2019

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Martingales and classical analysis (60G46)

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