Abstract
A procedure is indicated to estimate first-passage-time p.d.f.'s through varying boundaries for a class of diffusion processes that can be transformed into the Wiener process by rather general transformations. Although this procedure is adapted to Durbin's [4] algorithm, it could be extended to other existing computation methods.
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability
Cited by
22 articles.
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