A note on FBSDE characterization of mean exit times
From MaRDI portal
Publication:2272016
DOI10.1016/j.crma.2009.06.006zbMath1168.60022MaRDI QIDQ2272016
Publication date: 5 August 2009
Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.crma.2009.06.006
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60J60: Diffusion processes
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