33 citations · 80 across the 13 of their papers we have counts for
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math.PR2016★ 1 cited
A New Algorithm to Simulate the First Exit Times of a Vector of Brownian Motions, with an Application to Finance
Chiu-Yen Kao, Qidi Peng, Henry Schellhorn +1
We provide a new methodology to simulate the first exit times of a vector of Brownian motions from an orthant. This new approach can be used to simulate the first exit times of dim…
math.SP2016★ 33 cited
Computational Methods For Extremal Steklov Problems
Eldar Akhmetgaliyev, Chiu-Yen Kao, Braxton Osting
We develop a computational method for extremal Steklov eigenvalue problems and apply it to study the problem of maximizing the -th Steklov eigenvalue as a function of the domain…