First passage time problem for a drifted Ornstein-Uhlenbeck process
type: Item
instance of: scholarly article
title: First passage time problem for a drifted Ornstein-Uhlenbeck process
zbMATH Open document ID: 1047.92027
author: Yoann Madec
author: Caroline Japhet
published in: Mathematical Biosciences
publication date: 2004-08-16T00:00:00Z
Mathematics Subject Classification ID: 92C50
Mathematics Subject Classification ID: 60J70
Mathematics Subject Classification ID: 65N30
Mathematics Subject Classification ID: 65N99
zbMATH DE Number: 2091383
zbMATH Keywords: Euler scheme
zbMATH Keywords: First passage time
zbMATH Keywords: Numerical method
zbMATH Keywords: Ornstein-Uhlenbeck
zbMATH Keywords: Backward Chapman-Kolmogorov equation
MaRDI profile type: Publication
full work available at URL: j.mbs.2004.02.001
OpenAlex ID: W2081762278
Wikidata QID: Q51999092
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DOI: 10.1016/J.MBS.2004.02.001
description: scientific article; zbMATH DE number 2091383