First-passage-time densities for time-non-homogeneous diffusion processes

From MaRDI portal
Publication:4364869

DOI10.2307/3215089zbMath0891.60077OpenAlexW2331582877MaRDI QIDQ4364869

No author found.

Publication date: 7 July 1998

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/6f85df6bb103271aa3c33118d5a876e77f099445




Related Items (27)

Inference on some parametric functions in the univariate lognormal diffusion process with exogenous factorsApplications of the multi-sigmoidal deterministic and stochastic logistic models for plant dynamicsMore general problems on first-passage times for diffusion processes: a new version of the fptdApprox R packageLie symmetries methods in boundary crossing problems for diffusion processesThe stochastic Rayleigh diffusion model: Statistical inference and computational aspects. applications to modelling of real casesTrend analysis using nonhomogeneous stochastic diffusion processes. Emission of CO\({}_{2}\); Kyoto protocol in SpainMoments of the first passage time under external drivingOn two diffusion neuronal models with multiplicative noise: The mean first-passage time propertiesStochastic Integrate and Fire Models: A Review on Mathematical Methods and Their ApplicationsFirst passage densities and boundary crossing probabilities for diffusion processesApproximating the first passage time density from data using generalized Laguerre polynomialsOn Markov chain approximations for computing boundary crossing probabilities of diffusion processesOn a time-inhomogeneous diffusion process with discontinuous driftOn the therapy effect for a stochastic growth Gompertz-type modelOn the effect of a therapy able to modify both the growth rates in a Gompertz stochastic modelAn R package for an efficient approximation of first-passage-time densities for diffusion processes based on the FPTL functionA diffusion process to model generalized von Bertalanffy growth patterns: fitting to real dataMultiple barrier-crossings of an Ornstein-Uhlenbeck diffusion in consecutive periodsINFERENCE IN GOMPERTZ-TYPE NONHOMOGENEOUS STOCHASTIC SYSTEMS BY MEANS OF DISCRETE SAMPLINGPricing and static hedging of European-style double barrier options under the jump to default extended CEV modelEstimation and prediction of a 2D lognormal diffusion random fieldTime-inhomogeneous Feller-type diffusion process with absorbing boundary conditionFirst-passage-time location function: application to determine first-passage-time densities in diffusion processesSOME TIME RANDOM VARIABLES RELATED TO A GOMPERTZ-TYPE DIFFUSION PROCESSQualitative properties of different numerical methods for the inhomogeneous geometric Brownian motionEffect of an exponentially decaying threshold on the firing statistics of a stochastic integrate-and-fire neuronOn the construction of a special class of time-inhomogeneous diffusion processes




This page was built for publication: First-passage-time densities for time-non-homogeneous diffusion processes