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

DOI10.1016/j.csda.2008.01.017zbMath1245.62100MaRDI QIDQ1023759

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

62M05: Markov processes: estimation; hidden Markov models

60J60: Diffusion processes

60G17: Sample path properties

45D05: Volterra integral equations

Uses Software

• fptdApprox