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"Computing the first passage time density of a time-dependent ..."

Edward Chi-Fai Lo, Cho-Hoi Hui (2006)

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DOI: 10.1016/J.AML.2006.02.011

access: closed

type: Journal Article

metadata version: 2017-05-26

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Edward Chi-Fai Lo, Cho-Hoi Hui:
Computing the first passage time density of a time-dependent Ornstein-Uhlenbeck process to a moving boundary. Appl. Math. Lett. 19(12): 1399-1405 (2006)

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