A direct construction of first-passage-time (FPT) probability density functions (pdf’s) for a preassigned diffusion process in terms of the FPT pdf’s of Ornstein-Uhlenbeck (OU) process restricted between constant bound- aries is provided.

FPT densities constructions from Ornstein-Uhlenbeck process

PIROZZI, ENRICA;RICCIARDI, LUIGI MARIA
2008

Abstract

A direct construction of first-passage-time (FPT) probability density functions (pdf’s) for a preassigned diffusion process in terms of the FPT pdf’s of Ornstein-Uhlenbeck (OU) process restricted between constant bound- aries is provided.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11588/175185
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