On Markov chain approximations for computing boundary crossing probabilities of diffusion processes
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Publication:6148883
DOI10.1017/jpr.2023.11arXiv2112.05268MaRDI QIDQ6148883
Konstantin A. Borovkov, Unnamed Author
Publication date: 12 January 2024
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2112.05268
60J10: Markov chains (discrete-time Markov processes on discrete state spaces)
60J60: Diffusion processes
65C30: Numerical solutions to stochastic differential and integral equations
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