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 / V., Giorno; A. G., Nobile; Pirozzi, Enrica; Ricciardi, LUIGI MARIA. - STAMPA. - (2008), pp. 244-249.
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.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.
