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

Author:

Sacerdote LauraORCID,Tamborrino MassimilianoORCID,Zucca Cristina

Funder

University of Torino

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics

Reference45 articles.

1. The hitting time density for a reflected Brownian motion;Qin;Comput. Econ.,2012

2. Computing and updating the first-passage time distribution for randomly evolving degradation signals;Bian;IIE Trans.,2012

3. Applied Diffusion Processes from Engineering to Finance;Janssen,2013

4. Lookback options and diffusion hitting times: A spectral expansion approach;Linetsky;Finance Stoch.,2004

5. Leaky integrate and fire models: a review on mathematicals methods and their applications;Sacerdote,2013

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