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. - STAMPA. - (1990), pp. 419-425. (Intervento presentato al convegno Tenth European Meeting on Cybernetics and Systems Research tenutosi a Vienna nel April 17-20, 1990).
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.File in questo prodotto:
Non ci sono file associati a questo prodotto.
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
