Perpetual integral functionals of diffusions and their numerical computations

zbMATH Open1137.60044arXivmath/0601775MaRDI QIDQ5436617FDOQ5436617

Authors: Olli Wallin, Paavo Salminen 

Publication date: 17 January 2008

Full work available at URL: https://arxiv.org/abs/math/0601775

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zbMATH Keywords

Euler schemehitting timesnumerical algorithmsCrank-Nikolson schemeperpetual integral functionals of diffusions

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Diffusion processes (60J60) Brownian motion (60J65)

Cited In (5)

• On distributions of exponential functionals of the processes with independent increments
• A note on a.s. finiteness of perpetual integral functionals of diffusions
• Perpetual integral functionals as hitting and occupation times
• Perpetual integrals for Lévy processes
• On Exponential Functionals of Processes with Independent Increments

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