Motivated by some biological applications,a new integral equation is proposed to determine first-passage-time p.d.f. 's for one dimensional diffusion processes,which is particularly suitable for computational purposes.The cases of Wiener and Ornstein-Uhlenbeck processes are discussed into some details both with respect to closed form solutions and to approximate evaluations
A new algorithmic approach to first-passage-time problems
NOBILE, Amelia Giuseppina;
1986-01-01
Abstract
Motivated by some biological applications,a new integral equation is proposed to determine first-passage-time p.d.f. 's for one dimensional diffusion processes,which is particularly suitable for computational purposes.The cases of Wiener and Ornstein-Uhlenbeck processes are discussed into some details both with respect to closed form solutions and to approximate evaluationsFile in questo prodotto:
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