First passage time for multivariate jump-diffusion processes in finance and other areas of applications (Q3077491): Difference between revisions

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Property / author: Dianzhou Zhang / rank
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Property / author: Roderick V. Nicholas Melnik / rank
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Property / author: Dianzhou Zhang / rank
 
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Property / author: Roderick V. Nicholas Melnik / rank
 
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Property / full work available at URL: https://doi.org/10.1002/asmb.745 / rank
 
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Property / OpenAlex ID: W4243912334 / rank
 
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Latest revision as of 18:56, 3 July 2024

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First passage time for multivariate jump-diffusion processes in finance and other areas of applications
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    First passage time for multivariate jump-diffusion processes in finance and other areas of applications (English)
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    22 February 2011
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    first passage time problems
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    stochastic differential equations
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    jump-diffusion processes
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    modified Monte Carlo algorithms
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    default correlations
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    multiscale problems
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