Browsing by Subject "large deviations methodologies"
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Computational aspects of Monte-Carlo simulations of the first passage time for multivariate transformed Brownian motions with jumps
(International Journal of Computational Methods, 2013-12-31)Many problems in science, engineering, and finance require the information on the first passage time (FPT) of a stochastic process. Mathematically, such problems are often reduced to the evaluation of the probability density ...