A fast algorithm for the first-passage times of Gauss-Markov processes with Hölder continuous boundaries (Q643719)
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scientific article; zbMATH DE number 5966550
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| English | A fast algorithm for the first-passage times of Gauss-Markov processes with Hölder continuous boundaries |
scientific article; zbMATH DE number 5966550 |
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A fast algorithm for the first-passage times of Gauss-Markov processes with Hölder continuous boundaries (English)
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2 November 2011
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first-passage times
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Gauss-Markov processes
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Ornstein-Uhlenbeck process
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stochastic differential equations
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numerical algorithm
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0.8584940433502197
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0.8447204828262329
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0.8056008815765381
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0.7934442758560181
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0.7872236371040344
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