First-passage-time location function: application to determine first-passage-time densities in diffusion processes

DOI10.1016/j.csda.2008.01.017zbMath1245.62100OpenAlexW2080535924MaRDI QIDQ1023759

J. Martínez

Publication date: 16 June 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2008.01.017

Mathematics Subject Classification ID

Related Items (7)

More general problems on first-passage times for diffusion processes: a new version of the fptdApprox R package ⋮ Stochastic Integrate and Fire Models: A Review on Mathematical Methods and Their Applications ⋮ Statistical analysis and first-passage-time applications of a lognormal diffusion process with multi-sigmoidal logistic mean ⋮ On the effect of a therapy able to modify both the growth rates in a Gompertz stochastic model ⋮ An R package for an efficient approximation of first-passage-time densities for diffusion processes based on the FPTL function ⋮ A diffusion process to model generalized von Bertalanffy growth patterns: fitting to real data ⋮ On some integral equations for the evaluation of first-passage-time densities of time-inhomogeneous birth-death processes

Uses Software

• fptdApprox

Cites Work

• Diffusion approximation and first passage time problem for a model neuron. II. Outline of a computation method
• A diffusion model for population growth in random environment
• Using Runge-Kutta method for numerical solution of the system of Volterra integral equation.
• Numerical solution of nonlinear Volterra integral equations of the second kind by using Chebyshev polynomials
• A quadrature method with variable step for solving linear Volterra integral equations of the second kind
• Solving linear integral equations of the second kind with repeated modified trapezoid quadrature method
• A new Gompertz-type diffusion process with application to random growth
• Inference and first-passage-times for the lognormal diffusion process with exogenous factors: application to modelling in economics
• A computational approach to first-passage-time problems for Gauss–Markov processes
• A new integral equation for the evaluation of first-passage-time probability densities
• On the evaluation of first-passage-time probability densities via non-singular integral equations
• Construction of first-passage-time densities for a diffusion process which is not necessarily time-homogeneous
• First-passage-time densities for time-non-homogeneous diffusion processes
• A note on the Volterra integral equation for the first-passage-time probability density
• Unnamed Item
• Unnamed Item

This page was built for publication: First-passage-time location function: application to determine first-passage-time densities in diffusion processes