A Computational Approach to First Passage Problems of Reflected Hyperexponential Jump Diffusion Processes
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Publication:4995066
DOI10.1287/ijoc.2020.0980OpenAlexW3035830614MaRDI QIDQ4995066
Publication date: 23 June 2021
Published in: INFORMS Journal on Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/ijoc.2020.0980
first passage timesmartingale methodstransition densityordinary integro-differential equationsreflecting barrierhyperexponential distributionsreflected jump diffusion processes
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Cites Work
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