First passage time problem for a drifted Ornstein-Uhlenbeck process (Q1877141)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | First passage time problem for a drifted Ornstein-Uhlenbeck process |
scientific article |
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First passage time problem for a drifted Ornstein-Uhlenbeck process (English)
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16 August 2004
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Euler scheme
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First passage time
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Numerical method
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Ornstein-Uhlenbeck
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Backward Chapman-Kolmogorov equation
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