A characterization of the first hitting time of double integral processes to curved boundaries

Advances in Applied Probability

Volumn 40, Issue 2, 2008, Pages 501-528

  Touboul, Jonathan ^a   Faugeras, Olivier ^a  

^a UNIVERSITÉ PARIS EST   (France)

Author keywords

Curved boundary; Double integral process; First hitting time; First passage time; Integrated Wiener process; Numerical computation

Indexed keywords

CONVERGENCE OF NUMERICAL METHODS; INTEGRAL EQUATIONS; MANAGEMENT SCIENCE; MATHEMATICAL MODELS; MONTE CARLO METHODS; NEUROLOGY; POLYNOMIAL APPROXIMATION; PROBABILITY; PROBABILITY DISTRIBUTIONS;

ANALYTICAL FORMULAS; CURVED BOUNDARIES; CURVED BOUNDARY; DOUBLE INTEGRAL PROCESS; EXIT TIME; FIRST HITTING TIME; FIRST PASSAGE TIME; FORCE FIELD; HITTING TIME; INTEGRAL PROCESSES; INTEGRATE-AND-FIRE NEURON; INTEGRATED WIENER PROCESS; NUMERICAL COMPUTATION; SPIKE TIME DISTRIBUTION; STOCHASTIC CALCULUS; WIENER PROCESSES;

RANDOM PROCESSES;

EID: 49349111327     PISSN: 00018678     EISSN: None     Source Type: Journal    
DOI: 10.1239/aap/1214950214     Document Type: Article

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