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
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات کاربردی
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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
Journal: Journal of Computational and Applied Mathematics - Volume 222, Issue 1, 1 December 2008, Pages 42–53
نویسندگان
P. Patie, C. Winter,