Orthogonal gamma-based expansion for the CIR's first passage time distribution

zbMatharXiv:2402.00833MaRDI QIDQ6519972

Elvira di Nardo, Giuseppe D'Onofrio, Tommaso Martini

Publication date: 1 January 1

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Computational methods for problems pertaining to probability theory (60-08) Fourier series in special orthogonal functions (Legendre polynomials, Walsh functions, etc.) (42C10) General theory of stochastic processes (60G07) Approximations to statistical distributions (nonasymptotic) (62E17)

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