The moving-eigenvalue method: hitting time for Itô processes and moving boundaries
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Publication:5870723
DOI10.1088/1751-8121/ab9c59OpenAlexW3083419733MaRDI QIDQ5870723
Publication date: 23 January 2023
Published in: Journal of Physics A: Mathematical and Theoretical (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1088/1751-8121/ab9c59
moving boundaryeigenfunction expansionspectral methodsItô processfirst-passage timeSturm-Liouville theoryfirst-exit time
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Cites Work
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