A Computational Approach to First Passage Problems of Reflected Hyperexponential Jump Diffusion Processes-Reference-Cited by-同舟云学术

A Computational Approach to First Passage Problems of Reflected Hyperexponential Jump Diffusion Processes

Published:2021-01 Issue:1 Volume:33 Page:216-229
ISSN:1091-9856
Container-title:INFORMS Journal on Computing
language:en
Short-container-title:INFORMS Journal on Computing

Author:

Cai Ning¹,Yang Xuewei²^ORCID

Affiliation:

1. Department of Industrial Engineering and Decision Analytics, The Hong Kong University of Science and Technology, Hong Kong SAR, People's Republic of China;

2. School of Management and Engineering, Nanjing University, Nanjing 210093, People's Republic of China

Abstract

Statement of Scope and Mission

Publisher

Institute for Operations Research and the Management Sciences (INFORMS)

Subject

General Engineering

Reference51 articles.

1. Transient behavior of regulated Brownian motion, I: Starting at the origin

2. Transient behavior of regulated Brownian motion, II: Non-zero initial conditions

3. The Fourier-series method for inverting transforms of probability distributions

4. A Unified Framework for Numerically Inverting Laplace Transforms

5. On the Laguerre Method for Numerically Inverting Laplace Transforms

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