A radial basis function approach to compute the first-passage probability density function in two-dimensional jump-diffusion models for financial and other applications (Q2520233)
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scientific article; zbMATH DE number 6662795
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| English | A radial basis function approach to compute the first-passage probability density function in two-dimensional jump-diffusion models for financial and other applications |
scientific article; zbMATH DE number 6662795 |
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A radial basis function approach to compute the first-passage probability density function in two-dimensional jump-diffusion models for financial and other applications (English)
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13 December 2016
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meshless method
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radial basis function
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RBF
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two-dimensional jump-diffusion
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Fokker-Planck
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first-passage probability
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0.938627541065216
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0.7719785571098328
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0.7648727297782898
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0.7535289525985718
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0.7516987323760986
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