๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

Diffusion first passage times: Approximations and related differential equations

โœ Scribed by Michael L. Wenocur


Publisher
Elsevier Science
Year
1987
Tongue
English
Weight
896 KB
Volume
27
Category
Article
ISSN
0304-4149

No coin nor oath required. For personal study only.


๐Ÿ“œ SIMILAR VOLUMES


Approximation of First Exit Times of Dif
โœ Eckhard Platen ๐Ÿ“‚ Article ๐Ÿ“… 1983 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 728 KB

In the paper the first exit time of a diffusion from a bounded region is approximated by first exit times of time discrete diffusion approximations. Their speedof convergence is estimated wit,h respect to the maximum step size. Finally, this result is applied for the construction of approximate solu