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Computational aspects of Monte-Carlo simulations of the first passage time for multivariate transformed Brownian motions with jumps 

Zhang D.; Melnik R. (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 ...

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AuthorMelnik R. (1)Zhang D. (1)Subject
Brownian bridge simulations (1)
complex systems (1)credit risk (1)First passage time (1)large deviations methodologies (1)Monte-Carlo simulation (1)multivariate jump-diffusion processes (1)option pricing (1)... View MoreDate Issued
2013 (1)

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