A structure-preserving method for the distribution of the first hitting time to a moving boundary for some Gaussian processes
type: Item
instance of: scholarly article
title: A structure-preserving method for the distribution of the first hitting time to a moving boundary for some Gaussian processes
zbMATH Open document ID: 1394.60033
publication date: 2018-08-29T00:00:00Z
Mathematics Subject Classification ID: 60G17
Mathematics Subject Classification ID: 60G15
Mathematics Subject Classification ID: 35R60
Mathematics Subject Classification ID: 60H35
zbMATH DE Number: 6928454
zbMATH Keywords: advection-diffusion partial differential equations
zbMATH Keywords: structure-preserving numerical method
zbMATH Keywords: implicit finite-difference scheme
zbMATH Keywords: stability and convergence analyses
zbMATH Keywords: distribution of first-hitting time
zbMATH Keywords: applied stochastic processes
author: Jorge Eduardo Macías-Díaz
author: José Villa Morales
MaRDI profile type: Publication
full work available at URL: j.camwa.2017.06.039
OpenAlex ID: W2736008600
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DOI: 10.1016/J.CAMWA.2017.06.039
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published in: Computers & Mathematics with Applications
description: scientific article; zbMATH DE number 6928454