First passage time for multivariate jump
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Di Zhang; Roderick V. N. Melnik
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Article
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2009
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John Wiley and Sons
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English
โ 188 KB
## Abstract The first passage time (FPT) problem is an important problem with a wide range of applications in science, engineering, economics, and industry. Mathematically, such a problem can be reduced to estimating the probability of a stochastic process first to reach a boundary level. In most i