Publication:4865508
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zbMath0843.62101MaRDI QIDQ4865508
Mark H. A. Davis, Michel H. Vellekoop
Publication date: 22 August 1996
algorithms; piecewise-deterministic Markov processes; iterative solution of systems of first-order partial differential equations; payout process
62P05: Applications of statistics to actuarial sciences and financial mathematics
65M25: Numerical aspects of the method of characteristics for initial value and initial-boundary value problems involving PDEs
65C99: Probabilistic methods, stochastic differential equations
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