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

zbMATH Open1110.60072MaRDI QIDQ3422338FDOQ3422338

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

Publication date: 13 February 2007

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Mathematics Subject Classification ID

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

Cited In (22)

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

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