First-exit-time problems for two-dimensional Wiener and Ornstein–Uhlenbeck processes through time-varying ellipses

Di Crescenzo, Antonio; Giorno, Virginia; Nobile, Amelia G.; Spina, Serena

doi:10.1080/17442508.2024.2315274

Stochastics

2024

DOI: 10.1080/17442508.2024.2315274

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First-exit-time problems for two-dimensional Wiener and Ornstein–Uhlenbeck processes through time-varying ellipses

Antonio Di Crescenzo,

Virginia Giorno,

Amelia G. Nobile

et al.

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First-exit-time problems for two-dimensional Wiener and Ornstein–Uhlenbeck processes through time-varying ellipses

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References 42 publications

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