A new method for constructing first-passage-time probability density functions is outlined. This rests on the possibility of constructing the transition p.d.f. of a new diffusion process in terms of a preassigned transition p.d.f. without making use of the classical space-time transformations of the Kolmogorov equation. A few examples are finally discussed
A new approach to the construction of first-passage-time densities
GIORNO, Virginia;NOBILE, Amelia Giuseppina;
1988-01-01
Abstract
A new method for constructing first-passage-time probability density functions is outlined. This rests on the possibility of constructing the transition p.d.f. of a new diffusion process in terms of a preassigned transition p.d.f. without making use of the classical space-time transformations of the Kolmogorov equation. A few examples are finally discussedFile in questo prodotto:
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