On the numerical solution of Brownian motion processes

DOI10.2307/3212357MaRDI QIDQ5677041zbMATH OpenOpenAlexFDO

Authors R. Weiss, Robert S. Anderssen, F. R. De Hoog

Publication date 1973

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/3212357

Mathematics Subject Classification ID

Volterra integral equations (45D05) Brownian motion (60J65) Numerical methods for integral equations (65R20)

Cited in

(11)

• On a weakly singular Volterra integral equation
• Delayed-exponential approximation of a linear homogeneous diffusion model of neuron
• A survey of recent advances in the numerical treatment of Volterra integral and integro-differential equations
• On an initial-value method for quickly solving Volterra integral equations: A review
• A characterization of the first hitting time of double integral processes to curved boundaries
• MEAN VARIANCE AND SKEWNESS OF THE FIRST PASSAGE TIME FOR THE ORNSTEIN-UHLENBECK PROCESS
• EVALUATION OF FIRST PASSAGE TIME DENSITIES FOR DIFFUSION PROCESSE
• FIRST PASSAGE TIME PROBLEMS AND SOME RELATED COMPUTATIONAL METHODS
• On Solving Weakly Singular Volterra Equations of the First Kind with Galerkin Approximations
• Stochastic integrate and fire models: a review on mathematical methods and their applications
• The first passage time problem for Gauss-diffusion processes: algorithmic approaches and applications to LIF neuronal model

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