A fast algorithm for the first-passage times of Gauss-Markov processes with Hölder continuous boundaries (Q643719): Difference between revisions

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Latest revision as of 14:11, 4 July 2024

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A fast algorithm for the first-passage times of Gauss-Markov processes with Hölder continuous boundaries
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    A fast algorithm for the first-passage times of Gauss-Markov processes with Hölder continuous boundaries (English)
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    2 November 2011
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    first-passage times
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    Gauss-Markov processes
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    Ornstein-Uhlenbeck process
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    stochastic differential equations
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    numerical algorithm
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