First passage times of two-dimensional correlated processes: analytical results for the Wiener process and a numerical method for diffusion processes
DOI10.1016/j.cam.2015.09.033zbMath1333.60176arXiv1212.5287OpenAlexW2493112589MaRDI QIDQ898953
Cristina Zucca, Laura Sacerdote, Massimiliano Tamborrino
Publication date: 21 December 2015
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1212.5287
first passage timeserror analysishitting timeVolterra-Fredholm integral equationsbivariate Kolmogorov forward equationbivariate Wiener processcorrelated diffusion process
Numerical methods for integral equations (65R20) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Fredholm integral equations (45B05) Volterra integral equations (45D05) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)
Related Items (8)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Fast and accurate calculations for first-passage times in Wiener diffusion models
- Weak convergence of marked point processes generated by crossings of multivariate jump processes. applications to neural network modeling
- On the inverse first-passage-time problem for a Wiener process
- Numerical solution of stochastic differential equations with jumps in finance
- An adaptive method for Volterra-Fredholm integral equations on the half line
- Sur le premier instant de passage de l'intégrale du mouvement brownien. (The first passage time for the integrated Brownian motion)
- On the transformation of diffusion processes into the Feller process
- On the transformation of diffusion processes into the Wiener process
- Level crossing problems and drift reliability
- First-passage problems for degenerate two-dimensional diffusion processes
- Gaussian counter models for visual identification of briefly presented, mutually confusable single stimuli in pure accuracy tasks
- Lookback options and diffusion hitting times: a spectral expansion approach
- Fredholm-Volterra integral equation of the first kind and contact problem
- Weak approximation of killed diffusion using Euler schemes.
- The hitting time density for a reflected Brownian motion
- A first passage problem for a bivariate diffusion process: Numerical solution with an application to neuroscience when the process is Gauss-Markov
- On the first passage problem for correlated Brownian motion
- A Guide to First-Passage Processes
- Hitting Lines with Two-Dimensional Brownian Motion
- A new integral equation for the evaluation of first-passage-time probability densities
- One-Dimensional Homogeneous Diffusions
- On the solution of the Fokker–Planck equation for a Feller process
- First-Passage Densities of a Two-Dimensional Process
- On a symmetry-based constructive approach to probability densities for two-dimensional diffusion processes
- Estimates of the Exit Probability for Two Correlated Brownian Motions
- Joint Densities of First Hitting Times of a Diffusion Process Through Two Time-Dependent Boundaries
- Representations of the First Hitting Time Density of an Ornstein-Uhlenbeck Process1
This page was built for publication: First passage times of two-dimensional correlated processes: analytical results for the Wiener process and a numerical method for diffusion processes