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Volumn 222, Issue 1, 2008, Pages 42-53
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First exit time probability for multidimensional diffusions: A PDE-based approach
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Author keywords
Finite element method; First exit time; Multidimensional diffusion
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Indexed keywords
BOUNDARY CONDITIONS;
BOUNDARY VALUE PROBLEMS;
DIFFERENTIAL EQUATIONS;
FINANCE;
FINITE ELEMENT METHOD;
GALERKIN METHODS;
INITIAL VALUE PROBLEMS;
INSURANCE;
MANAGEMENT SCIENCE;
MATHEMATICAL MODELS;
MONTE CARLO METHODS;
NUMERICAL ANALYSIS;
PARTIAL DIFFERENTIAL EQUATIONS;
PROBABILITY;
RANDOM PROCESSES;
RISK ANALYSIS;
RISK MANAGEMENT;
SEMICONDUCTOR DOPING;
TENSORS;
BOUNDED DOMAINS;
DISCONTINUOUS GALERKIN METHOD;
EXIT TIME;
FINITE ELEMENT SPACES;
FIRST EXIT TIME;
MULTIDIMENSIONAL DIFFUSION;
NUMERICA L RESULTS;
OPTION PRICING;
STOPPING TIME;
TENSOR PRODUCT;
PROBABILITY DISTRIBUTIONS;
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EID: 52949137436
PISSN: 03770427
EISSN: None
Source Type: Journal
DOI: 10.1016/j.cam.2007.10.043 Document Type: Article |
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Times cited : (27)
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References (7)
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