Articles citing this article

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Cited article:

On Markov chain approximations for computing boundary crossing probabilities of diffusion processes

Vincent Liang and Konstantin Borovkov
Journal of Applied Probability 1 (2023)
https://doi.org/10.1017/jpr.2023.11

Approximating the first passage time density from data using generalized Laguerre polynomials

Elvira Di Nardo, Giuseppe D’Onofrio and Tommaso Martini
Communications in Nonlinear Science and Numerical Simulation 118 106991 (2023)
https://doi.org/10.1016/j.cnsns.2022.106991

Exact simulation of the first passage time through a given level of jump diffusions

Samuel Herrmann and Nicolas Massin
Mathematics and Computers in Simulation 203 553 (2023)
https://doi.org/10.1016/j.matcom.2022.07.007

On the Simulation of a Special Class of Time-Inhomogeneous Diffusion Processes

Virginia Giorno and Amelia G. Nobile
Mathematics 9 (8) 818 (2021)
https://doi.org/10.3390/math9080818

On the First-Passage Time Problem for a Feller-Type Diffusion Process

Virginia Giorno and Amelia G. Nobile
Mathematics 9 (19) 2470 (2021)
https://doi.org/10.3390/math9192470