A direct construction of first-passage-time (FPT) probability density functions (pdf’s) for a preassigned diffusion process in terms of the FPT pdf’s of Ornstein-Uhlenbeck (OU) process restricted between constant boundaries is provided
FPT densities constructions from Ornstein-Uhlenbeck process.
GIORNO, Virginia;NOBILE, Amelia Giuseppina;
2008
Abstract
A direct construction of first-passage-time (FPT) probability density functions (pdf’s) for a preassigned diffusion process in terms of the FPT pdf’s of Ornstein-Uhlenbeck (OU) process restricted between constant boundaries is providedFile in questo prodotto:
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