A computational approach to first-passage-time problems for Gauss-Markov processes
type: Item
instance of: scholarly article
zbMATH Open document ID: 0987.60055
author: Enrica Pirozzi
author: E. Di Nardo
author: Amelia G. Nobile
author: L. M. Ricciardi
published in: Advances in Applied Probability
publication date: 2002-06-23T00:00:00Z
Mathematics Subject Classification ID: 60G15
Mathematics Subject Classification ID: 60J25
zbMATH DE Number: 1663789
zbMATH Keywords: Brownian bridge
zbMATH Keywords: varying boundaries
zbMATH Keywords: Daniels boundary
zbMATH Keywords: Volterra integral equations
Wikidata QID: Q63434454
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1239/aap/999188324
OpenAlex ID: W2072177860
DOI: 10.1239/AAP/999188324
title: A computational approach to first-passage-time problems for Gauss-Markov processes
review text: The authors propose a new computationally simple, speedy and accurate method for the construction of first-passage-time probability density functions for Gauss-Markov processes through time-dependent boundaries, both for fixed and random initial states. Furthermore, some applications to Brownian motion and to the Brownian bridge are also provided along with a comparison with some computational results for Durbin and Daniels. Finally, certain results on classes of boundaries are also obtained.
reviewed by: Sophia L. Kalpazidou
description: scientific article; zbMATH DE number 1663789