Orthogonal gamma-based expansion for the CIR's first passage time distribution

arXiv2402.00833MaRDI QIDQ6519972FDOQ6519972

Authors: E. Di Nardo, Giuseppe D'Onofrio, T. Martini 

Mathematics Subject Classification ID

Computational methods for problems pertaining to probability theory (60-08) Approximations to statistical distributions (nonasymptotic) (62E17) Probabilistic models, generic numerical methods in probability and statistics (65C20) Fourier series in special orthogonal functions (Legendre polynomials, Walsh functions, etc.) (42C10) General theory of stochastic processes (60G07)

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