The aim of the present paper is to provide some quantitative informations on the role of catastrophes in diffusion models. Analytical and computational results for the Wiener and for the Ornstein-Uhlenbeck processes are determined
Diffusion Processes Subject to Catastrophes
GIORNO, Virginia;NOBILE, Amelia Giuseppina
2009-01-01
Abstract
The aim of the present paper is to provide some quantitative informations on the role of catastrophes in diffusion models. Analytical and computational results for the Wiener and for the Ornstein-Uhlenbeck processes are determinedFile in questo prodotto:
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