First exit time probability for multidimensional diffusions: A PDE-based approach

DOI10.1016/J.CAM.2007.10.043MaRDI QIDQ952076zbMATH OpenOpenAlexFDO

Authors B. E. Eshmatov

Publication date 6 November 2008

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2007.10.043

zbMATH Keywords

finite element methodfirst exit timemultidimensional diffusion

Mathematics Subject Classification ID

Diffusion processes (60J60) Stopping times; optimal stopping problems; gambling theory (60G40) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)

Recommendations

• Multilevel estimation of expected exit times and other functionals of stopped diffusions
• scientific article; zbMATH DE number 3911425
• First passage probabilities of one-dimensional diffusion processes
• Approximation of exit times for one-dimensional linear diffusion processes
• On the numerical evaluation of first-passage-time probability densities for one dimensional diffusion processes

Cites work

• scientific article; zbMATH DE number 1817636 (Why is no real title available?)
• scientific article; zbMATH DE number 3664138 (Why is no real title available?)
• scientific article; zbMATH DE number 3277871 (Why is no real title available?)
• scientific article; zbMATH DE number 3360568 (Why is no real title available?)
• Absorbing boundaries and optimal stopping in a stochastic differential equation
• Functional Integration and Partial Differential Equations. (AM-109)
• Numerical solution of parabolic equations in high dimensions

Cited in

(11)

• On Markov chain approximations for computing boundary crossing probabilities of diffusion processes
• Event-triggered learning
• A stochastic differential equation model for assessing drought and flood risks
• Lie symmetries methods in boundary crossing problems for diffusion processes
• Asymptotics of two-boundary first-exit-time densities for Gauss-Markov processes
• A Feynman-Kac based numerical method for the exit time probability of a class of transport problems
• Backward stochastic differential equations with non-Markovian singular terminal conditions for general driver and filtration
• First passage time moments of jump-diffusions with Markovian switching
• Multilevel estimation of expected exit times and other functionals of stopped diffusions
• On 1-point densities for Arratia flows with drift
• A geometrical characterization of multidimensional Hausdorff polytopes with applications to exit time problems

This page was built for publication: First exit time probability for multidimensional diffusions: A PDE-based approach

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q952076)