A new integral equation for the evaluation of first-passage-time probability densities

DOI10.2307/1427102zbMath0632.60079OpenAlexW2103891020WikidataQ63434480 ScholiaQ63434480MaRDI QIDQ3769731

Amelia G. Nobile, Luigi M. Ricciardi, Aniello Buonocore

Publication date: 1987

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1427102

zbMATH Keywords

Volterra integral equationfirst passage timeOrnstein-Uhlenbeck processesVolterra equationdiffusion processes through time-dependent boundaries

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (87)

Applications of the multi-sigmoidal deterministic and stochastic logistic models for plant dynamics ⋮ Fast solutions for the first-passage distribution of diffusion models with space-time-dependent drift functions and time-dependent boundaries ⋮ Estimating Parameters of Generalized Integrate-and-Fire Neurons from the Maximum Likelihood of Spike Trains ⋮ More general problems on first-passage times for diffusion processes: a new version of the fptdApprox R package ⋮ On the inverse first-passage-time problem for a Wiener process ⋮ Default risk and derivative products ⋮ Default risk and derivative products ⋮ Stochastic modeling of the neuronal activity in the subthalamic nucleus and model parameter identification from Parkinson patient data ⋮ Diffusion approximation and first-passage-time problem for a model neuron. III: A birth-and-death process approach ⋮ On the parameter estimation for diffusion models of single neuron's activities. I: Application to spontaneous activities of mesencephalic reticular formation cells in sleep and waking states ⋮ Gauss-Markov processes in the presence of a reflecting boundary and applications in neuronal models ⋮ The First-passage Time of the Brownian Motion to a Curved Boundary: an Algorithmic Approach ⋮ On the comparison of Feller and Ornstein-Uhlenbeck models for neural activity ⋮ A leaky integrate-and-fire model with adaptation for the generation of a spike train ⋮ A new firing paradigm for integrate and fire stochastic neuronal models ⋮ Approximation of the first passage time density of a Wiener process to an exponentially decaying boundary by two-piecewise linear threshold. Application to neuronal spiking activity ⋮ Optimum signal in a diffusion leaky integrate-and-fire neuronal model ⋮ Neuron firing in driven nonlinear integrate-and-fire models ⋮ The effect of a random initial value in neural first-passage-time models ⋮ Stochastic Integrate and Fire Models: A Review on Mathematical Methods and Their Applications ⋮ A note on the asymptotics of lattice paths with general boundaries ⋮ The first passage time density of Ornstein-Uhlenbeck process with continuous and impulsive excitations ⋮ Comparing first-passage times for semi-Markov skip-free processes ⋮ A simple algorithm to generate firing times for leaky integrate-and-fire neuronal model ⋮ Estimating nonstationary inputs from a single spike train based on a neuron model with adaptation ⋮ Gauss-diffusion processes for modeling the dynamics of a couple of interacting neurons ⋮ On the return process with refractoriness for a non-homogeneous Ornstein-Uhlenbeck neuronal model ⋮ Modeling perceptual discrimination in dynamic noise: time-changed diffusion and release from inhibition ⋮ First passage densities and boundary crossing probabilities for diffusion processes ⋮ Exit problem for Ornstein-Uhlenbeck processes: a random walk approach ⋮ First passage and first exit times for diffusion processes related to a general growth curve ⋮ Statistical analysis and first-passage-time applications of a lognormal diffusion process with multi-sigmoidal logistic mean ⋮ State space splitting of a finite markov process and some discussions on related counting processes ⋮ Multiresolution Hilbert approach to multidimensional Gauss-Markov processes ⋮ Approximating the first passage time density from data using generalized Laguerre polynomials ⋮ Diffusion models with time-dependent parameters: an analysis of computational effort and accuracy of different numerical methods ⋮ First passage times of two-dimensional correlated processes: analytical results for the Wiener process and a numerical method for diffusion processes ⋮ On Markov chain approximations for computing boundary crossing probabilities of diffusion processes ⋮ On short-term loan interest rate models: a first passage time approach ⋮ On the therapy effect for a stochastic growth Gompertz-type model ⋮ The first passage time problem for Gauss-diffusion processes: algorithmic approaches and applications to LIF neuronal model ⋮ A characterization of the first hitting time of double integral processes to curved boundaries ⋮ Aging Feynman–Kac equation ⋮ An R package for an efficient approximation of first-passage-time densities for diffusion processes based on the FPTL function ⋮ On first-passage-time and transition densities for strongly symmetric diffusion processes ⋮ On integral equations arising in the first-passage problem for Brownian motion ⋮ A simple model for market booms and crashes ⋮ Valuation of default-sensitive claims under imperfect information ⋮ Hitting time in Erlang loss systems with moving boundaries ⋮ American options and callable bonds under stochastic interest rates and endogenous bankruptcy ⋮ A stochastic model of cancer growth subject to an intermittent treatment with combined effects: reduction in tumor size and rise in growth rate ⋮ On the evaluation of firing densities for periodically driven neuron models ⋮ A fast algorithm for numerical solutions to Fortet's equation ⋮ Gaussian processes and neuronal modeling ⋮ Responses of leaky integrate-and-fire neurons to a plurality of stimuli in their receptive fields ⋮ Multiple barrier-crossings of an Ornstein-Uhlenbeck diffusion in consecutive periods ⋮ On the first-passage times of certain Gaussian processes, and related asymptotics ⋮ First passage time for Brownian motion and piecewise linear boundaries ⋮ DEFAULTABLE DEBT PRICING IN MULTI-FACTOR MODELS ⋮ Joint Densities of First Hitting Times of a Diffusion Process Through Two Time-Dependent Boundaries ⋮ Quasiperiodicity and phase locking in stochastic circle maps: a spectral approach ⋮ A further insight into stochastic resonance in an integrate-and-fire neuron with noisy periodic input ⋮ Estimation in Discretely Observed Diffusions Killed at a Threshold ⋮ On the densities of certain bounded diffusion processes ⋮ Period Focusing Induced by Network Feedback in Populations of Noisy Integrate-and-Fire Neurons ⋮ Stochastic phase lockings in a relaxation oscillator forced by a periodic input with additive noise: a first-passage-time approach ⋮ Closed-form solutions for the probability distribution of time-variant maximal value processes for some classes of Markov processes ⋮ On a Stochastic Leaky Integrate-and-Fire Neuronal Model ⋮ How Sample Paths of Leaky Integrate-and-Fire Models Are Influenced by the Presence of a Firing Threshold ⋮ On first–crossing times of one–dimensional diffusions over two time–dependent boundaries ⋮ Stochastic mode-locking for a noisy integrate-and-fire oscillator ⋮ Improved Integral Equation Solution for the First Passage Time of Leaky Integrate-and-Fire Neurons ⋮ First-passage-time location function: application to determine first-passage-time densities in diffusion processes ⋮ SOME TIME RANDOM VARIABLES RELATED TO A GOMPERTZ-TYPE DIFFUSION PROCESS ⋮ A COMPARISON OF ALTERNATIVE APPROACHES TO SUPREMUM-NORM GOODNESS-OF-FIT TESTS WITH ESTIMATED PARAMETERS ⋮ On Transition and First Hitting Time Densities and Moments of the Ornstein–Uhlenbeck Process ⋮ Exact simulation of the first-passage time of diffusions ⋮ On the construction of a special class of time-inhomogeneous diffusion processes ⋮ An improved technique for the simulation of first passage times for diffusion processes ⋮ Stochastic dynamic models of response time and accuracy: A foundation primer ⋮ Restricted Ornstein-Uhlenbeck process and applications in neuronal models with periodic input signals ⋮ The moving-eigenvalue method: hitting time for Itô processes and moving boundaries ⋮ Noise-induced critical breakdown of phase lockings in a forced van der Pol oscillator ⋮ Simulation of first-passage times for alternating Brownian motions ⋮ Mean first passage time and absorption probabilities of a Lévy flier on a finite interval: discrete space and continuous limit via Fock space approach ⋮ Numerical simulation of a SIS epidemic model based on a nonlinear Volterra integral equation ⋮ Some conditional crossing results of Brownian motion over a piecewise-linear boundary

This page was built for publication: A new integral equation for the evaluation of first-passage-time probability densities