First exit time probability for multidimensional diffusions: A PDE-based approach
type: Item
instance of: scholarly article
title: First exit time probability for multidimensional diffusions: A PDE-based approach
zbMATH Open document ID: 1154.91469
author: B. E. Eshmatov
published in: Journal of Computational and Applied Mathematics
publication date: 2008-11-06T00:00:00Z
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 60G40
Mathematics Subject Classification ID: 60J60
Mathematics Subject Classification ID: 65M60
zbMATH DE Number: 5362085
zbMATH Keywords: first exit time
zbMATH Keywords: multidimensional diffusion
zbMATH Keywords: finite element method
MaRDI profile type: Publication
full work available at URL: j.cam.2007.10.043
OpenAlex ID: W2045686556
cites work: Q3150773
cites work: Functional Integration and Partial Differential Equations. (AM-109)
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cites work: Absorbing boundaries and optimal stopping in a stochastic differential equation
cites work: Numerical solution of parabolic equations in high dimensions
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DOI: 10.1016/J.CAM.2007.10.043
description: scientific article; zbMATH DE number 5362085