A new method for constructing first-passage-time probability density functions is outlined. This rests on the possibility of constructing the transition p.d.f. of a new diffusion process in terms of a preassigned transition p.d.f.. without making use of the classical space-time transformations of the Kolmogorov equation [8]. A few examples are finally discussed.
A new approach to the construction of first-passage-time densities / V., Giorno; A. G., Nobile; Ricciardi, LUIGI MARIA. - STAMPA. - (1988), pp. 375-381.
A new approach to the construction of first-passage-time densities
RICCIARDI, LUIGI MARIA
1988
Abstract
A new method for constructing first-passage-time probability density functions is outlined. This rests on the possibility of constructing the transition p.d.f. of a new diffusion process in terms of a preassigned transition p.d.f.. without making use of the classical space-time transformations of the Kolmogorov equation [8]. A few examples are finally discussed.File in questo prodotto:
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