We give a new numerical procedure requiring linear computational time in order to evaluate the first-passage-time p.d.f. for one dimensional diffusion processes. Furthermore, we prove that the condition necessary to implement this method is fulfilled in the case of the Ornstein-Uhlenbeck process.

A simple algorithm for the evaluation of first passage time probability densities for one dimensional diffusion processes

BUONOCORE, ANIELLO;VISENTIN, FRANCESCA
1990

Abstract

We give a new numerical procedure requiring linear computational time in order to evaluate the first-passage-time p.d.f. for one dimensional diffusion processes. Furthermore, we prove that the condition necessary to implement this method is fulfilled in the case of the Ornstein-Uhlenbeck process.
9789810202224
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11588/169871
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