Computing the survival probability density function in jump-diffusion models: a new approach based on radial basis functions

DOI10.1016/j.enganabound.2011.02.008zbMath1259.65157MaRDI QIDQ1944574

Luca Vincenzo Ballestra, Graziella Pacelli

Publication date: 25 March 2013

Published in: Engineering Analysis with Boundary Elements (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.enganabound.2011.02.008

Mathematics Subject Classification ID

60J60: Diffusion processes

65M75: Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs

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