First exit time probability for multidimensional diffusions: A PDE-based approach

DOI10.1016/j.cam.2007.10.043zbMath1154.91469OpenAlexW2045686556MaRDI QIDQ952076

B. E. Eshmatov

Publication date: 6 November 2008

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2007.10.043

zbMATH Keywords

finite element methodfirst exit timemultidimensional diffusion

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)

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Cites Work

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