A fast algorithm for numerical solutions to Fortet's equation

DOI10.1016/j.cam.2007.09.001zbMath1148.91025OpenAlexW2052665761MaRDI QIDQ939562

Gorazd Brumen

Publication date: 22 August 2008

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

Full work available at URL: https://doi.org/10.1016/j.cam.2007.09.001

zbMATH Keywords

diffusion processessurvival probabilityToeplitz matricesoperations researchcomputational financeFortet's equationdefault time algorithmfirm network economysecurities pricing

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Economic time series analysis (91B84) Microeconomic theory (price theory and economic markets) (91B24) Numerical analysis or methods applied to Markov chains (65C40)

Cites Work

• Double Lookbacks
• Coverings of Bipartite Graphs
• A new integral equation for the evaluation of first-passage-time probability densities
• Some Surface Integral Techniques in Statistics
• Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach