Vectorized simulations of normal processes for first crossing-time problems

Author:

Di Nardol E.,Pirozzi E.,Ricciardi L. M.,Rinaldi S.

Publisher

Springer Berlin Heidelberg

Reference7 articles.

1. Buonocore, A., Di Crescenzo, A., Iardino, F., Nakamura, A., Ricciardi, L.M., Rinaldi, S.: A vectorized simulation procedure for computations of first crossing time densities of normal processes with oscillatory covariances. Rapporto Tecnico N. 1/93, “Progetto Finalizzato Sistemi Informatici e Calcolo Parallelo ” del CNR. (1992)

2. Buonocore, A., Giorno, V., Nobile, A.G., Ricciardi, L.M.: On the two-boundary first-crossing time problem for diffusion processes. J. Appl. Prob. 27 (1990) 102–114

3. Di Nardo, E., Pirozzi, E., Rinaldi S.: Sul tempo di primo passaggio per processi normali a covarianza oscillante. Preprint n. 96, (1996) Dipartimento di Matematica e Applicazioni “R. Cacciopoli”, Università di Napoli “Federico II”

4. Di Nardo, E., Pirozzi, E., Rinaldi, S.: On FTP densities of normal processes with an oscillatory covariance. Rend. Ac. Sci. Fis. Mat. Napoli Vol.LXIII (1996) 179–192

5. Franklin, J.N.: Numerical simulation of stationary and non stationary gaussian random processes. SIAM Review 7 (1965) 68–80

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