Efficient Estimation of First Passage Time Density Function for Jump-Diffusion Processes
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Computational Mathematics
Link
http://epubs.siam.org/doi/pdf/10.1137/S1064827502417982
Reference23 articles.
1. Level-crossing problems for random processes
2. On the Adaptive Control of Jump Parameter Systems via Nonlinear Filtering
3. Jump Diffusion Processes and Emerging Bond and Stock Markets: An Investigation Using Daily Data
4. Discrete-time LQ-optimal control problems for infinite Markov jump parameter systems
5. The surprise element: jumps in interest rates
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