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First passage times of two-dimensional correlated processes: Analytical results for the Wiener process and a numerical method for diffusion processes

Laura Sacerdote, Massimiliano Tamborrino, Cristina Zucca. First passage times of two-dimensional correlated processes: Analytical results for the Wiener process and a numerical method for diffusion processes. J. Computational Applied Mathematics, 296:275-292, 2016. [doi]

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