Perpetual integral functionals of diffusions and their numerical computations

MaRDI QIDQ5436617zbMATH OpenFDO

Authors Olli Wallin, Paavo Salminen

Publication date 17 January 2008

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

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)

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Cited in

(6)

• On distributions of exponential functionals of the processes with independent increments
• Perpetual integral functionals of multidimensional stochastic processes
• 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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