A structure-preserving method for the distribution of the first hitting time to a moving boundary for some Gaussian processes - Macías-Díaz, J.E.; Villa-Morales, J. (Computers & mathematics with applications (1987), 2017)
Keywords: Advection–diffusion partial differential equations; Applied stochastic processes; Computer simulation; Convergence; Diffusion; Distribution of the first hitting time; Gaussian process; Implicit finite-difference scheme; Mathematical models; Partial differential equations; Probability theory; Properties (attributes); Simulation; Stability and convergence analyses; Stochastic processes; Structure-preserving numerical method; Studies; Implicit finite-difference scheme; Advection–diffusion partial differential equations; Applied stochastic processes; Stability and convergence analyses; Structure-preserving numerical method; Distribution of the first hitting time