More general problems on first-passage times for diffusion processes: a new version of the fptdApprox R package

DOI10.1016/j.amc.2014.06.111zbMath1335.45001MaRDI QIDQ278369

F. Blanchet-Sadri, M. Dambrine

Publication date: 2 May 2016

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2014.06.111

zbMATH Keywords

diffusion processes; Volterra integral equations; conditioned and unconditioned first-passage times; FPTL function

Mathematics Subject Classification ID

60J60: Diffusion processes

45D05: Volterra integral equations

60-04: Software, source code, etc. for problems pertaining to probability theory

45-04: Software, source code, etc. for problems pertaining to integral equations

Uses Software

• R
• fptdApprox
• DiffProc
• sde