On the numerical evaluation of first-passage-time probability densities for one dimensional diffusion processes

zbMATH Open0851.65102MaRDI QIDQ684377FDOQ684377

Authors: Aniello Buonocore, Francesca Visentin 

Publication date: 13 September 1993

Published in: Ricerche di Matematica (Search for Journal in Brave)

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zbMATH Keywords

diffusion processesfirst-passage-time probability density functions

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99) Diffusion processes (60J60)

Cited In (18)

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• First exit time probability for multidimensional diffusions: A PDE-based approach
• Numerical approximation of the first-passage time distribution of time-varying diffusion decision models: a mesh-free approach
• On the densities of certain bounded diffusion processes
• On the evaluation of first-passage-time probability densities via non-singular integral equations
• Efficient Estimation of One-Dimensional Diffusion First Passage Time Densities via Monte Carlo Simulation
• Outflow probability for drift-diffusion dynamics
• First passage probabilities of one-dimensional diffusion processes
• On the first hitting time of a one-dimensional diffusion and a compound Poisson process
• Calculation optimization in the solution of diffusion problems
• An improved technique for the simulation of first passage times for diffusion processes
• An R package for an efficient approximation of first-passage-time densities for diffusion processes based on the FPTL function
• A Monte Carlo method for the simulation of first passage times of diffusion processes
• Title not available (Why is that?)
• On the construction of first-passage-time densities for diffusion processes
• First passage times of two-dimensional correlated processes: analytical results for the Wiener process and a numerical method for diffusion processes
• Approximating the first passage time density from data using generalized Laguerre polynomials
• Numerical computation of first-passage times of increasing Lévy processes

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