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An explicit representation of the transition densities of the skew Brownian motion with drift and two semipermeable barriers.
David Dereudre
Sara Mazzonetto
Sylvie Roelly
Published in:
Monte Carlo Methods Appl. (2016)
Keyphrases
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brownian motion
optimal stopping
differential equations
stochastic process
diffusion process
queue length
poisson process
image processing
objective function
cost function
dynamical systems