fptdApprox

swMATH6381CRANfptdApproxMaRDI QIDQ18507

Approximation of First-Passage-Time Densities for Diffusion Processes

Patricia Roman-Roman

Last update: 29 October 2023

Software version identifier: 2.4, 1.0, 1.1, 1.2, 2.0, 2.1, 2.2, 2.3, 2.5

Copyright license: GNU General Public License, version 2.0

Description

Efficient approximation of first passage time densities for diffusion processes based on the First Passage Time Location (FPTL) function.

Described by source

• An R package for an efficient approximation of first-passage-time densities for diffusion processes based on the FPTL function