کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
4641871 1341322 2008 12 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
First exit time probability for multidimensional diffusions: A PDE-based approach
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
First exit time probability for multidimensional diffusions: A PDE-based approach
چکیده انگلیسی

First exit time distributions for multidimensional processes are key quantities in many areas of risk management and option pricing. The aim of this paper is to provide a flexible, fast and accurate algorithm for computing the probability of the first exit time from a bounded domain for multidimensional diffusions. First, we show that the probability distribution of this stopping time is the unique (weak) solution of a parabolic initial and boundary value problem. Then, we describe the algorithm which is based on a combination of the sparse tensor product finite element spaces and an hp-discontinuous Galerkin method. We illustrate our approach with several examples. We also compare the numerical results to classical Monte Carlo methods.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Computational and Applied Mathematics - Volume 222, Issue 1, 1 December 2008, Pages 42–53
نویسندگان
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