A fast algorithm for the first-passage times of Gauss-Markov processes with Hölder continuous boundaries (Q643719)

From MaRDI portal
scientific article
Language Label Description Also known as
English
A fast algorithm for the first-passage times of Gauss-Markov processes with Hölder continuous boundaries
scientific article

    Statements

    A fast algorithm for the first-passage times of Gauss-Markov processes with Hölder continuous boundaries (English)
    0 references
    0 references
    0 references
    2 November 2011
    0 references
    first-passage times
    0 references
    Gauss-Markov processes
    0 references
    Ornstein-Uhlenbeck process
    0 references
    stochastic differential equations
    0 references
    numerical algorithm
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references