First exit time probability for multidimensional diffusions: A PDE-based approach-Reference-Cited by-同舟云学术

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First exit time probability for multidimensional diffusions: A PDE-based approach

Published:2008-12 Issue:1 Volume:222 Page:42-53
ISSN:0377-0427
Container-title:Journal of Computational and Applied Mathematics
language:en
Short-container-title:Journal of Computational and Applied Mathematics

Author:

Patie P.,Winter C.

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics

Reference7 articles.

1. Handbook of Brownian Motion — Facts and Formulae;Borodin,2002

2. Functional Integration and Partial Differential Equations;Freidlin,1985

3. Linear and Quasilinear Equations of Parabolic Type;Ladyzenskaja,1968

4. Non Homogeneous Boundary Value Problems and Applications;Lions,1972

5. Absorbing boundaries and optimal stopping in a stochastic differential equation;Mannella;Phys. Lett. A,1999

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