Asymptotics and evaluations of FPT densities through varying boundaries for Gauss-Markov processes (Q3515340)
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scientific article; zbMATH DE number 5304917
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| English | Asymptotics and evaluations of FPT densities through varying boundaries for Gauss-Markov processes |
scientific article; zbMATH DE number 5304917 |
Statements
29 July 2008
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first-passage time problem
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Wiener process
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Ornstein-Uhlenbeck process
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Brownian bridge
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computational approximations
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0.8827823996543884
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0.8616231679916382
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0.8551339507102966
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0.8516502380371094
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0.8495331406593323
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