First passage times of two-dimensional correlated processes: analytical results for the Wiener process and a numerical method for diffusion processes

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Publication:898953

DOI10.1016/j.cam.2015.09.033zbMath1333.60176arXiv1212.5287OpenAlexW2493112589MaRDI QIDQ898953

Cristina Zucca, Laura Sacerdote, Massimiliano Tamborrino

Publication date: 21 December 2015

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1212.5287




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