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Absorbing boundaries and optimal stopping in a stochastic differential equation · Study

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ArticleAbsorbing boundaries and optimal stopping in a stochastic differential equation

R. Mannella1999

Article1999

Absorbing boundaries and optimal stopping in a stochastic differential equation

58 citations·0/0 files stored·Physics Letters A

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Stochastic processes and financial applications Probability and Statistical Research Probability and Risk Models

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2016Numerical solution of stochastic differential equations

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2013Mean Exit Times and the Multilevel Monte Carlo Method 2007A Gentle Introduction to the Integration of Stochastic Differential Equations 2007First exit time probability for multidimensional diffusions: A PDE-based approach 2005Adaptive Monte Carlo Algorithms for Stopped Diffusion 2008EFFICIENT MONTE CARLO ALGORITHM FOR PRICING BARRIER OPTIONS 2004Simulation of stopped diffusions

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Year1999

Typearticle

Published1999-04-01

VenuePhysics Letters A

ISSN-L0375-9601

Languageen

Citations58

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/s0375-9601(99)00117-6

openalex_workW2129105779

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