Statistics of the first passage area functional for an Ornstein–Uhlenbeck process
MJ Kearney, RJ Martin - Journal of Physics A: Mathematical and …, 2021 - iopscience.iop.org
… Various applications are indicated. … suspensions [11]; the associated techniques being
developed explicitly in [12… the key results relating to the first passage time T. As mentioned above, …
developed explicitly in [12… the key results relating to the first passage time T. As mentioned above, …
Maximum Likelihood Estimation for an Ornstein–Uhlenbeck Model for Neural Activity
S Iyengar - Journal of Statistical Theory and Practice, 2021 - Springer
… The Ornstein–Uhlenbeck process arises from a leaky … The first-hitting time density is not
tractable, so we use its … Next, our numerical work indicates that the OU first passage time pdfs are …
tractable, so we use its … Next, our numerical work indicates that the OU first passage time pdfs are …
Jacobi processes with jumps as neuronal models: a first passage time analysis
… The Ornstein–Uhlenbeck process indeed allows unlimited … Finally, we stress that, despite
the application in the context of … some jump distribution that depends on the inverse of \(\mu\) or …
the application in the context of … some jump distribution that depends on the inverse of \(\mu\) or …
The first-passage area of Ornstein-Uhlenbeck process revisited
M Abundo - Stochastic Analysis and Applications, 2023 - Taylor & Francis
… the first-passage time of X(t) through zero and its first-passage … in biological modeling
concerning neuronal activity, and in … a constant barrier x is the inverse Gaussian density, namely (…
concerning neuronal activity, and in … a constant barrier x is the inverse Gaussian density, namely (…
Analytical survival analysis of the ornstein–uhlenbeck process
… OU process is used to study neuronal activity [1] and the time-… \) for the first time is variously
called the first hitting time or first … 2d we show that the numerical solution with two boundaries …
called the first hitting time or first … 2d we show that the numerical solution with two boundaries …
A cumulant approach for the first-passage-time problem of the Feller square-root process
E Di Nardo, G D'Onofrio - Applied Mathematics and Computation, 2021 - Elsevier
… The paper focuses on an approximation of the first passage time probability density function
… Then we apply our method to different case studies inspired by neuronal and financial …
… Then we apply our method to different case studies inspired by neuronal and financial …
The moving-eigenvalue method: hitting time for ito processes and moving boundaries
MNP Nilsson - Journal of Physics A: Mathematical and …, 2020 - iopscience.iop.org
… technique by application to Wiener and Ornstein–Uhlenbeck … For the Ornstein–Uhlenbeck
process defined by (2), we … The first passage time of a sandwiched smooth boundary will occur …
process defined by (2), we … The first passage time of a sandwiched smooth boundary will occur …
First-passage probabilities and invariant distributions of Kac-Ornstein-Uhlenbeck processes
N Ratanov - arXiv preprint arXiv:2102.13308, 2021 - arxiv.org
… first passage distributions and neural modelling applications. … We define also a process Γ(s,t)
with inverse time by setting Γ(s… and ℓ1 of the first passage time T(x,y), (14). We will consider …
with inverse time by setting Γ(s… and ℓ1 of the first passage time T(x,y), (14). We will consider …
Numerical approximation of the first-passage time distribution of time-varying diffusion decision models: A mesh-free approach
… been proposed based on ideas of neural plausibility, such as models with evidence leakage
(eg, the Ornstein–Uhlenbeck model [47]; see also [16], [19]), boundaries that collapse over …
(eg, the Ornstein–Uhlenbeck model [47]; see also [16], [19]), boundaries that collapse over …
On the first-passage time problem for a Feller-type diffusion process
… and of the Wiener and the Ornstein–Uhlenbeck processes … , a property that in the neuronal
models allows the inclusion of … by performing the inverse LT to the second expression in (36) …
models allows the inclusion of … by performing the inverse LT to the second expression in (36) …