A Fast Algorithm for the First-Passage Times of Gauss-Markov Processes with Hölder Continuous Boundaries

Journal of Statistical Physics

Volumn 140, Issue 6, 2010, Pages 1130-1156

  Taillefumier, Thibaud ^a   Magnasco, Marcelo O ^a  

^a ROCKEFELLER UNIVERSITY   (United States)

Author keywords

First passage times; Gauss Markov processes; Ornstein Uhlenbeck process

Indexed keywords

EID: 77956174040     PISSN: 00224715     EISSN: None     Source Type: Journal    
DOI: 10.1007/s10955-010-0033-6     Document Type: Article

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