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 determined.
Work performed under partial support by G.N.C.S.- INdAM and by Campania Region.
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di Cesare, R., Giorno, V., Nobile, A.G. (2009). Diffusion Processes Subject to Catastrophes. In: Moreno-Díaz, R., Pichler, F., Quesada-Arencibia, A. (eds) Computer Aided Systems Theory - EUROCAST 2009. EUROCAST 2009. Lecture Notes in Computer Science, vol 5717. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-04772-5_18
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DOI: https://doi.org/10.1007/978-3-642-04772-5_18
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