A procedure is indicated to estimate first-passage-time p.d.f.'s through varying boundaries for a class of diffusion processes that can be transformed into the Wiener process by rather general transformations. Although this procedure is adapted to Durbin's [4] algorithm, it could be extended to other existing computation methods.
A note on the evaluation of first passage time probability densities / Ricciardi, LUIGI MARIA; S., Sato. - In: JOURNAL OF APPLIED PROBABILITY. - ISSN 0021-9002. - STAMPA. - 20:1(1983), pp. 197-201. [10.2307/3213736]
A note on the evaluation of first passage time probability densities
RICCIARDI, LUIGI MARIA;
1983
Abstract
A procedure is indicated to estimate first-passage-time p.d.f.'s through varying boundaries for a class of diffusion processes that can be transformed into the Wiener process by rather general transformations. Although this procedure is adapted to Durbin's [4] algorithm, it could be extended to other existing computation methods.File in questo prodotto:
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