An improved technique for the simulation of first passage times for diffusion processes

Communications in Statistics Part B: Simulation and Computation

Volumn 28, Issue 4, 1999, Pages 1135-1163

  Giraudo, Maria Teresa ^a   Sacerdote, Laura ^a  

^a UNIVERSITY OF TURIN   (Italy)

Author keywords

Exit time; Feller process; Ornstein Uhlenbeck process; Tied down processes; Time dependent boundaries

Indexed keywords

EID: 28244454609     PISSN: 03610918     EISSN: None     Source Type: Journal    
DOI: 10.1080/03610919908813596     Document Type: Article

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