A structure-preserving method for the distribution of the first hitting time to a moving boundary for some Gaussian processes
DOI10.1016/j.camwa.2017.06.039zbMath1394.60033OpenAlexW2736008600MaRDI QIDQ1668539
Jorge Eduardo Macías-Díaz, José Villa Morales
Publication date: 29 August 2018
Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.camwa.2017.06.039
implicit finite-difference schemestructure-preserving numerical methodstability and convergence analysesapplied stochastic processesadvection-diffusion partial differential equationsdistribution of first-hitting time
Gaussian processes (60G15) Sample path properties (60G17) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
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