First passage time for multivariate jump-diffusion processes in finance and other areas of applications (Q3077491): Difference between revisions
From MaRDI portal
Created a new Item |
Added link to MaRDI item. |
||
links / mardi / name | links / mardi / name | ||
Revision as of 21:48, 3 February 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | First passage time for multivariate jump-diffusion processes in finance and other areas of applications |
scientific article |
Statements
First passage time for multivariate jump-diffusion processes in finance and other areas of applications (English)
0 references
22 February 2011
0 references
first passage time problems
0 references
stochastic differential equations
0 references
jump-diffusion processes
0 references
modified Monte Carlo algorithms
0 references
default correlations
0 references
multiscale problems
0 references