Absorbing boundaries and optimal stopping in a stochastic differential equation

Physics Letters, Section A: General, Atomic and Solid State Physics

Volumn 254, Issue 5, 1999, Pages 257-262

  Mannella, R ^a  

^a UNIVERSITY OF PISA   (Italy)

Author keywords

Absorbing boundaries; Stochastic processes

Indexed keywords

DIFFERENTIAL EQUATIONS; RANDOM PROCESSES;

ABSORBING BOUNDARIES; OPTIMAL STOPPING; STOCHASTIC DIFFERENTIAL EQUATIONS; STOCHASTIC SERIES;

STOCHASTIC SYSTEMS;

EID: 0043282192     PISSN: 03759601     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0375-9601(99)00117-6     Document Type: Article

References (6)

1. R. Mannella, in: Supercomputation in Nonlinear and Disordered Systems, F.L. Vasquez, F. Tirado, I. Martin, eds. (World Scientific, Singapore, 1997) pp. 100-129, and references therein.
2. A.N. Borodin, P. Salminen, Handbook of Brownian Motion (Birkhäuser, Basel, 1996).
3. W. Strittmatter, U. Freiburg, THEP 87/12.
4. P.E. Kloeden, E. Platen, Numerical Solution of Stochastic Differential Equations (Springer, Berlin, 1992).
5. H. Kramers, Physica (Utrecht) 7 (1940) 284; for a recent review on the subject and extensions to more complex systems, see the papers in Noise in Nonlinear Dynamical Systems, Vol. 1, F. Moss, P.V.E. McClintock, eds. (Cambridge Univ. Press, Cambridge, 1989).
6. H. Kramers, Physica (Utrecht) 7 (1940) 284; for a recent review on the subject and extensions to more complex systems, see the papers in Noise in Nonlinear Dynamical Systems, Vol. 1, F. Moss, P.V.E. McClintock, eds. (Cambridge Univ. Press, Cambridge, 1989).