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

MaRDI QIDQ684377zbMATH OpenFDO

Authors Aniello Buonocore, Francesca Visentin

Publication date 13 September 1993

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

zbMATH Keywords

diffusion processesfirst-passage-time probability density functions

Mathematics Subject Classification ID

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

Recommendations

• EVALUATION OF FIRST PASSAGE TIME DENSITIES FOR DIFFUSION PROCESSE
• First passage probabilities of one-dimensional diffusion processes
• On the construction of first-passage-time densities for diffusion processes
• Efficient Estimation of One-Dimensional Diffusion First Passage Time Densities via Monte Carlo Simulation
• A note on the evaluation of first-passage-time probability densities
• On the evaluation of first-passage-time probability densities via non-singular integral equations
• On the asymptotic behaviour of first-passage-time densities for one-dimensional diffusion processes and varying boundaries
• First-passage-time densities for time-non-homogeneous diffusion processes

Cited in

(18)

• scientific article; zbMATH DE number 7640323 (Why is no real title available?)
• First exit time probability for multidimensional diffusions: A PDE-based approach
• On the densities of certain bounded diffusion processes
• Numerical approximation of the first-passage time distribution of time-varying diffusion decision models: a mesh-free approach
• 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 R package for an efficient approximation of first-passage-time densities for diffusion processes based on the FPTL function
• An improved technique for the simulation of first passage times for diffusion processes
• A Monte Carlo method for the simulation of first passage times of diffusion processes
• On the construction of first-passage-time densities for diffusion processes
• scientific article; zbMATH DE number 530056 (Why is no real title available?)
• 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

This page was built for publication: On the numerical evaluation of first-passage-time probability densities for one dimensional diffusion processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q684377)