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First exit time probability for multidimensional diffusions: A PDE-based approach
5 references·0 citing·19 second hop
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this work references cited by second hop

References

  • 1996Handbook of Brownian Motion — Facts and Formulae1,391 cited
  • 1980MULTI-DIMENSIONAL DIFFUSION PROCESSES1,243 cited
  • 2002Handbook of Brownian Motion - Facts and Formulae1,094 cited
  • 2004Fast deterministic pricing of options on Lévy driven assets144 cited
  • 1999Absorbing boundaries and optimal stopping in a stochastic differential equation58 cited

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