EVALUATION OF FIRST PASSAGE TIME DENSITIES FOR DIFFUSION PROCESSE

DOI10.1080/01969728508927779zbMath0601.65096OpenAlexW2014311414MaRDI QIDQ3736870

N. Balossino, Luigi M. Ricciardi, Laura Sacerdote

Publication date: 1985

Published in: Cybernetics and Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/01969728508927779

zbMATH Keywords

Wiener processdiffusion processesOrnstein-Uhlenbeck processesfirst passage time densitiesVolterra second-kind integral equation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Diffusion processes (60J60) Volterra integral equations (45D05) Probabilistic methods, stochastic differential equations (65C99)

Related Items (1)

Delayed-exponential approximation of a linear homogeneous diffusion model of neuron

Cites Work

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• Boundary-crossing probabilities for the Brownian motion and Poisson processes and techniques for computing the power of the Kolmogorov-Smirnov test
• On the numerical solution of Brownian motion processes
• Level-crossing problems for random processes
• On the First Passage Time Probability Problem

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