First-passage-time location function: application to determine first-passage-time densities in diffusion processes

DOI10.1016/J.CSDA.2008.01.017MaRDI QIDQ1023759zbMATH OpenOpenAlexFDO

Authors J. Martínez

Publication date 16 June 2009

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.csda.2008.01.017

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60) Volterra integral equations (45D05) Sample path properties (60G17)

Recommendations

• First-passage-time densities for time-non-homogeneous diffusion processes
• EVALUATION OF FIRST PASSAGE TIME DENSITIES FOR DIFFUSION PROCESSE
• On the construction of first-passage-time densities for diffusion processes
• First-passage-time distribution for variable-diffusion processes
• Construction of first-passage-time densities for a diffusion process which is not necessarily time-homogeneous
• First passage densities and boundary crossing probabilities for diffusion processes
• First passage time distribution for the 1D diffusion of particles with internal degrees of freedom
• First passage time problem: a Fokker-Planck approach

Cites work

• scientific article; zbMATH DE number 1369679 (Why is no real title available?)
• scientific article; zbMATH DE number 2112230 (Why is no real title available?)
• A computational approach to first-passage-time problems for Gauss-Markov processes
• A diffusion model for population growth in random environment
• A new Gompertz-type diffusion process with application to random growth
• A new integral equation for the evaluation of first-passage-time probability densities
• A note on the Volterra integral equation for the first-passage-time probability density
• A quadrature method with variable step for solving linear Volterra integral equations of the second kind
• Construction of first-passage-time densities for a diffusion process which is not necessarily time-homogeneous
• Diffusion approximation and first passage time problem for a model neuron. II. Outline of a computation method
• First-passage-time densities for time-non-homogeneous diffusion processes
• Inference and first-passage-times for the lognormal diffusion process with exogenous factors: application to modelling in economics
• Numerical solution of nonlinear Volterra integral equations of the second kind by using Chebyshev polynomials
• On the evaluation of first-passage-time probability densities via non-singular integral equations
• Solving linear integral equations of the second kind with repeated modified trapezoid quadrature method
• Using Runge-Kutta method for numerical solution of the system of Volterra integral equation.

Cited in

(8)

• On some integral equations for the evaluation of first-passage-time densities of time-inhomogeneous birth-death processes
• More general problems on first-passage times for diffusion processes: a new version of the fptdApprox R package
• A Bertalanffy-Richards growth model perturbed by a time-dependent pattern, statistical analysis and applications
• Statistical analysis and first-passage-time applications of a lognormal diffusion process with multi-sigmoidal logistic mean
• An R package for an efficient approximation of first-passage-time densities for diffusion processes based on the FPTL function
• A diffusion process to model generalized von Bertalanffy growth patterns: fitting to real data
• Stochastic integrate and fire models: a review on mathematical methods and their applications
• On the effect of a therapy able to modify both the growth rates in a Gompertz stochastic model

Describes a project that uses

Uses Software

• fptdApprox

This page was built for publication: First-passage-time location function: application to determine first-passage-time densities in diffusion processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1023759)