First passage time problem for a drifted Ornstein-Uhlenbeck process (Q1877141)
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scientific article; zbMATH DE number 2091383
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| English | First passage time problem for a drifted Ornstein-Uhlenbeck process |
scientific article; zbMATH DE number 2091383 |
Statements
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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0.8076466917991638
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0.7973693609237671
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0.7817572951316833
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0.7756627202033997
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0.7643276453018188
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