The algorithm to evaluate first-passage-time pdf's for Wiener and Ornstein-Uhlenbeck processes through a time-dependent boundary is extended to a wide class of time-homogeneous one-dimensional diffusion processes. Several examples are thoroughly discussed along with some computational results.
On the evaluation of first–passage–time probability densities via nonsingular integral equations
GIORNO, Virginia;NOBILE, Amelia Giuseppina;
1989-01-01
Abstract
The algorithm to evaluate first-passage-time pdf's for Wiener and Ornstein-Uhlenbeck processes through a time-dependent boundary is extended to a wide class of time-homogeneous one-dimensional diffusion processes. Several examples are thoroughly discussed along with some computational results.File in questo prodotto:
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