First exit time probability for multidimensional diffusions: A PDE-based approach
DOI10.1016/J.CAM.2007.10.043zbMATH Open1154.91469OpenAlexW2045686556MaRDI QIDQ952076FDOQ952076
Authors: B. E. Eshmatov 
Publication date: 6 November 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.2007.10.043
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Cites Work
- Absorbing boundaries and optimal stopping in a stochastic differential equation
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- Functional Integration and Partial Differential Equations. (AM-109)
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- Numerical solution of parabolic equations in high dimensions
Cited In (11)
- Lie symmetries methods in boundary crossing problems for diffusion processes
- First passage time moments of jump-diffusions with Markovian switching
- Event-triggered learning
- On Markov chain approximations for computing boundary crossing probabilities of diffusion processes
- A stochastic differential equation model for assessing drought and flood risks
- Multilevel estimation of expected exit times and other functionals of stopped diffusions
- A Feynman-Kac based numerical method for the exit time probability of a class of transport problems
- A geometrical characterization of multidimensional Hausdorff polytopes with applications to exit time problems
- Asymptotics of two-boundary first-exit-time densities for Gauss-Markov processes
- On 1-point densities for Arratia flows with drift
- Backward stochastic differential equations with non-Markovian singular terminal conditions for general driver and filtration
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