Author:
Giorno V.,Nobile A. G.,Ricciardi L. M.,Sato S.
Abstract
The algorithm given by Buonocore et al. [1] to evaluate first-passage-time p.d.f.’s for Wiener and Ornstein–Uhlenbeck processes through a time-dependent boundary is extended to a wide class of time-homogeneous one-dimensional diffusion processes. Several examples are thoroughly discussed along with some computational results.
Publisher
Cambridge University Press (CUP)
Subject
Applied Mathematics,Statistics and Probability
Reference6 articles.
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