A structure-preserving method for the distribution of the first hitting time to a moving boundary for some Gaussian processes

DOI10.1016/J.CAMWA.2017.06.039MaRDI QIDQ1668539zbMATH OpenOpenAlexFDO

Authors 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

zbMATH Keywords

advection-diffusion partial differential equationsapplied stochastic processesdistribution of first-hitting timeimplicit finite-difference schemestability and convergence analysesstructure-preserving numerical method

Mathematics Subject Classification ID

PDEs with randomness, stochastic partial differential equations (35R60) Gaussian processes (60G15) Sample path properties (60G17) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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Cited in

(5)

• A fractional PDE for first passage time of time-changed Brownian motion and its numerical solution
• Finite-difference modeling à la Mickens of the distribution of the stopping time in a stochastic differential equation
• A deterministic model for the distribution of the stopping time in a stochastic equation and its numerical solution
• On the first-passage times of certain Gaussian processes, and related asymptotics
• The moving-eigenvalue method: hitting time for Itô processes and moving boundaries

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