On the construction of first-passage-time densities for diffusion processes

MaRDI QIDQ3422338zbMATH OpenFDO

Authors Enrica Pirozzi, Virginia Giorno, Amelia G. Nobile, L. M. Ricciardi

Publication date 13 February 2007

Mathematics Subject Classification ID

Diffusion processes (60J60) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Neural biology (92C20)

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(23)

• First-passage-time location function: application to determine first-passage-time densities in diffusion processes
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• Time-inhomogeneous Feller-type diffusion process with absorbing boundary condition
• Some results on the telegraph process confined by two non-standard boundaries
• Asymptotic results for the absorption time of telegraph processes with elastic boundary at the origin
• On the construction of a special class of time-inhomogeneous diffusion processes
• Improved simulation techniques for first exit time of neural diffusion models
• Analysis of reflected diffusions via an exponential time-based transformation
• First passage time for a diffusive process under a geometric constraint
• 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
• Smooth first-passage densities for one-dimensional diffusions
• A note on the first passage time of diffusions with holding and jumping boundary
• Construction of first-passage-time densities for a diffusion process which is not necessarily time-homogeneous
• A symmetry-based constructive approach to probability densities for one-dimensional diffusion processes
• First-passage-time densities for time-non-homogeneous diffusion processes
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• Explicit asymptotics on first passage times of diffusion processes
• A unifying approach to first-passage time distributions in diffusing diffusivity and switching diffusion models
• On the densities of certain bounded diffusion processes
• Asymptotic results for the absorption time of telegraph processes with a non-standard barrier at the origin
• The first passage time problem for Gauss-diffusion processes: algorithmic approaches and applications to LIF neuronal model
• On the numerical evaluation of first-passage-time probability densities for one dimensional diffusion processes

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