EVALUATION OF FIRST PASSAGE TIME DENSITIES FOR DIFFUSION PROCESSE

DOI10.1080/01969728508927779MaRDI QIDQ3736870zbMATH OpenOpenAlexFDO

Authors N. Balossino, L. M. Ricciardi, Laura Sacerdote

Publication date 1985

Published in Cybernetics and Systems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/01969728508927779

zbMATH Keywords

diffusion processesfirst passage time densitiesOrnstein-Uhlenbeck processesVolterra second-kind integral equationWiener process

Mathematics Subject Classification ID

Volterra integral equations (45D05) Diffusion processes (60J60) Monte Carlo methods (65C05) Probabilistic methods, stochastic differential equations (65C99)

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Cites work

• A note on modeling accumulation of information when the rate of accumulation changes over time
• A tandem random walk model for psychological discrimination
• Boundary-crossing probabilities for the Brownian motion and Poisson processes and techniques for computing the power of the Kolmogorov-Smirnov test
• Diffusion approximation and first passage time problem for a model neuron. II. Outline of a computation method
• FIRST PASSAGE TIME PROBLEMS AND SOME RELATED COMPUTATIONAL METHODS
• scientific article; zbMATH DE number 3550516 (Why is no real title available?)
• scientific article; zbMATH DE number 3555160 (Why is no real title available?)
• scientific article; zbMATH DE number 3588427 (Why is no real title available?)
• scientific article; zbMATH DE number 3226612 (Why is no real title available?)
• Level-crossing problems for random processes
• On an integral equation for first-passage-time probability densities
• On the First Passage Time Probability Problem
• On the numerical solution of Brownian motion processes
• On the transformation of diffusion processes into the Wiener process

Cited in

(24)

• First-passage-time location function: application to determine first-passage-time densities in diffusion processes
• Delayed-exponential approximation of a linear homogeneous diffusion model of neuron
• First passage time distribution in an oscillating field
• On some integral equations for the evaluation of first-passage-time densities of time-inhomogeneous birth-death processes
• scientific article; zbMATH DE number 4180476 (Why is no real title available?)
• A note on the evaluation of first-passage-time probability densities
• On the two-boundary first-crossing-time problem for diffusion processes
• scientific article; zbMATH DE number 3988419 (Why is no real title available?)
• A new integral equation for the evaluation of first-passage-time probability densities
• scientific article; zbMATH DE number 4054758 (Why is no real title available?)
• scientific article; zbMATH DE number 18903 (Why is no real title available?)
• Construction of first-passage-time densities for a diffusion process which is not necessarily time-homogeneous
• First-passage-time densities for time-non-homogeneous diffusion processes
• An R package for an efficient approximation of first-passage-time densities for diffusion processes based on the FPTL function
• Elementary derivation for passage times
• An improved technique for the simulation of first passage times for diffusion processes
• Smoothness of first passage time distributions and a new integral equation for the first passage time density of continuous Markov processes
• Geometric Optics Approach to First‐Passage Distributions: Caustic Boundaries and Exponentially Small Eigenvalues
• On evaluations and asymptotic approximations of first-passage-time probabilities
• A unifying approach to first-passage time distributions in diffusing diffusivity and switching diffusion models
• Method of filtration in first passage time problems
• On the numerical evaluation of first-passage-time probability densities for one dimensional diffusion processes
• Fast solutions for the first-passage distribution of diffusion models with space-time-dependent drift functions and time-dependent boundaries
• First passage times of two-dimensional correlated processes: analytical results for the Wiener process and a numerical method for diffusion processes

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