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

DOI10.1016/j.amc.2012.01.066zbMath1245.65183OpenAlexW2013786846MaRDI QIDQ440723

J. Herrera, H. S. Yoon

Publication date: 19 August 2012

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2012.01.066

zbMATH Keywords

diffusion processesVolterra integral equations\texttt{R}\texttt{R package fptdApprox}first-passage-timefirst-passage-time location function

Mathematics Subject Classification ID

Numerical methods for integral equations (65R20) Volterra integral equations (45D05)

Related Items (6)

Applications of the multi-sigmoidal deterministic and stochastic logistic models for plant dynamics ⋮ More general problems on first-passage times for diffusion processes: a new version of the fptdApprox R package ⋮ 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 ⋮ fptdApprox ⋮ On some integral equations for the evaluation of first-passage-time densities of time-inhomogeneous birth-death processes

Uses Software

• R

Cites Work

• Unnamed Item
• Diffusion approximation and first passage time problem for a model neuron. II. Outline of a computation method
• First-passage-time location function: application to determine first-passage-time densities in diffusion processes
• 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
• First-passage-time densities for time-non-homogeneous diffusion processes
• A note on the Volterra integral equation for the first-passage-time probability density

This page was built for publication: An R package for an efficient approximation of first-passage-time densities for diffusion processes based on the FPTL function