On the numerical evaluation of first-passage-time probability densities for one dimensional diffusion processes

zbMath0851.65102MaRDI QIDQ684377

Aniello Buonocore, Francesca Visentin

Publication date: 13 September 1993

Published in: Ricerche di Matematica (Search for Journal in Brave)

zbMATH Keywords

diffusion processesfirst-passage-time probability density functions

Mathematics Subject Classification ID

Diffusion processes (60J60) Probabilistic methods, stochastic differential equations (65C99)

Related Items (1)

On the densities of certain bounded diffusion processes

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