Numerical determination of hitting time distributions from their Laplace transforms: simple cases

DOI10.1016/J.PHYSA.2014.05.035zbMATH Open1395.60020OpenAlexW1992254807MaRDI QIDQ1782972FDOQ1782972

Authors: Henryk Gzyl, Enrique ter Horst 

Publication date: 20 September 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2014.05.035

Recommendations

• Numerical computation of hitting time distributions of increasing Lévy processes
• Simulation of hitting times for Bessel processes with non-integer dimension
• Hitting time statistics for observations of dynamical systems
• The Laplace transform of hitting times of integrated geometric Brownian motion
• Laplace transforms for the first hitting time of a Brownian motion
• Asymptotics for hitting times
• scientific article; zbMATH DE number 1775603
• Hitting time distributions of single points for 1-dimensional generalized diffusion processes
• scientific article; zbMATH DE number 758249

zbMATH Keywords

Laplace transformsfractional moment problems

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Continuous-time Markov processes on general state spaces (60J25)

Cites Work

• Efficient Estimation of One-Dimensional Diffusion First Passage Time Densities via Monte Carlo Simulation
• Handbook of stochastic methods for physics, chemistry and the natural sciences.
• Title not available (Why is that?)
• Information Theory and Statistical Mechanics
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• On Minimization and Maximization of Entropy in Various Disciplines
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• The First Passage Problem for a Continuous Markov Process
• Numerical methods for Laplace transform inversion
• Numerical inversion of the Laplace transform: a survey and comparison of methods
• A bibliography on numerical inversion of the Laplace transform and applications
• A new method of inversion of the Laplace transform
• Hausdorff moment problem: reconstruction of probability density functions
• Input recovery from noisy output data, using regularized inversion of the Laplace transform
• A note on first-passage times of continuously time-changed Brownian motion
• On the regularized inversion of the Laplace transform
• On the numerical inversion of the Laplace transform
• Application of best rational function approximation for Laplace transform inversion
• A bibliography on numerical inversion of the Laplace transform and applications: A supplement
• Remarks concerning a numerical inversion of the Laplace transform due to Bellman, Kalaba, and Lockett
• A fast algorithm for scalar Nevanlinna-Pick interpolation
• Stabilization and error bounds for the inverse laplace transform
• Complex Variable and Regularization Methods of Inversion of the Laplace Transform
• A maximum entropy method for inverting Laplace transforms of probability density functions
• Determination of the distribution of total loss from the fractional moments of its exponential
• Title not available (Why is that?)
• On the inversion of the Laplace transform by the use of a regularized displacement operator
• Maximum entropy formalism and analytic extrapolation

Cited In (2)

• Superresolution in the maximum entropy approach to invert Laplace transforms
• Numerical computation of hitting time distributions of increasing Lévy processes

This page was built for publication: Numerical determination of hitting time distributions from their Laplace transforms: simple cases

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1782972)