FIRST PASSAGE TIME PROBLEMS AND SOME RELATED COMPUTATIONAL METHODS

DOI10.1080/01969728208927693zbMath0499.60087MaRDI QIDQ3965368

Laura Sacerdote, Luigi M. Ricciardi, L. F. Favella, M. T. Reineri

Publication date: 1982

Published in: Cybernetics and Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/01969728208927693

zbMATH Keywords

numerical methods; first passage time; Ornstein-Uhlenbeck processes

Mathematics Subject Classification ID

60J65: Brownian motion

60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)

92F05: Other natural sciences (mathematical treatment)

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