A characterization of the first hitting time of double integral processes to curved boundaries

DOI10.1239/aap/1214950214zbMath1147.60027OpenAlexW2130211522MaRDI QIDQ3516400

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Publication date: 5 August 2008

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/aap/1214950214

zbMATH Keywords

numerical computationfirst passage timefirst hitting timecurved boundaryintegrated Wiener processdouble integral process

Mathematics Subject Classification ID

Gaussian processes (60G15) Monte Carlo methods (65C05) Other physical applications of random processes (60K40) Stopping times; optimal stopping problems; gambling theory (60G40)

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