Efficient inference in first passage time models
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Cites work
- A fast numerical algorithm for the estimation of diffusion model parameters
- A martingale analysis of first passage times of time-dependent Wiener diffusion models
- A Modification of the Sequential Probability Ratio Test to Reduce the Sample Size
- A note on the evaluation of first-passage-time probability densities
- A practical guide to splines
- Approximations of boundary crossing probabilities for a Brownian motion
- Boundary crossing probability for Brownian motion
- Boundary crossing probability for Brownian motion and general boundaries
- Crossing probabilities for diffusion processes with piecewise continuous boundaries
- Diffusion models with time-dependent parameters: an analysis of computational effort and accuracy of different numerical methods
- Double barrier hitting time distributions with applications to exotic options
- Efficient Estimation of One-Dimensional Diffusion First Passage Time Densities via Monte Carlo Simulation
- Even faster and even more accurate first-passage time densities and distributions for the Wiener diffusion model
- Exact simulation of first exit times for one-dimensional diffusion processes
- Fast and accurate calculations for first-passage times in Wiener diffusion models
- First exit time probability for multidimensional diffusions: A PDE-based approach
- First passage time for Brownian motion and piecewise linear boundaries
- First-passage phenomena and their applications
- scientific article; zbMATH DE number 1999206 (Why is no real title available?)
- scientific article; zbMATH DE number 3320019 (Why is no real title available?)
- On integral equations arising in the first-passage problem for Brownian motion
- On the transformation of diffusion processes into the Wiener process
- Random walk, Brownian motion, and martingales
- Simple matrix methods for analyzing diffusion models of choice probability, choice response time, and simple response time
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- The Brownian movement and stochastic equations
- The Diffusion Decision Model: Theory and Data for Two-Choice Decision Tasks
- The distribution of brownian motion on linear stopping boundaries
- The frontier of simulation-based inference
- The tangent approximation to one-sided Brownian exit densities
- Threshold regression for survival analysis: modeling event times by a stochastic process reaching a boundary
- Über die analytischen Methoden in der Wahrscheinlichkeitsrechnung.
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