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

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

zbMATH Keywords

first passage timeserror analysishitting timeVolterra-Fredholm integral equationsbivariate Kolmogorov forward equationbivariate Wiener processcorrelated diffusion process

Mathematics Subject Classification ID

Numerical methods for integral equations (65R20) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Fredholm integral equations (45B05) Volterra integral equations (45D05) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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