A note on the evaluation of first-passage-time probability densities
LM Ricciardi, S Sato - Journal of Applied Probability, 1983 - cambridge.org
A procedure is indicated to estimate first-passage-time pdf's through varying boundaries for
a class of diffusion processes that can be transformed into the Wiener process by rather …
a class of diffusion processes that can be transformed into the Wiener process by rather …
On the evaluation of first-passage-time probability densities via non-singular integral equations
The algorithm given by Buonocore et al.[1] to evaluate first-passage-time pdf's for Wiener
and Ornstein–Uhlenbeck processes through a time-dependent boundary is extended to a …
and Ornstein–Uhlenbeck processes through a time-dependent boundary is extended to a …
A new integral equation for the evaluation of first-passage-time probability densities
A Buonocore, AG Nobile, LM Ricciardi - Advances in applied …, 1987 - cambridge.org
The first-passage-time pdf through a time-dependent boundary for one-dimensional
diffusion processes is proved to satisfy a new Volterra integral equation of the second kind …
diffusion processes is proved to satisfy a new Volterra integral equation of the second kind …
Exponential trends of first-passage-time densities for a class of diffusion processes with steady-state distribution
AG Nobile, LM Ricciardi, L Sacerdote - Journal of applied probability, 1985 - cambridge.org
The asymptotic behavior of the first-passage-time pdf through a constant boundary is studied
when the boundary approaches the endpoints of the diffusion interval. We show that for a …
when the boundary approaches the endpoints of the diffusion interval. We show that for a …
Construction of first-passage-time densities for a diffusion process which is not necessarily time-homogeneous
RG Jáimez, AJ Gonzalez, PR Román - Journal of applied probability, 1991 - cambridge.org
In Giorno et al.(1988) a new method for constructing first-passage-time probability density
functions is outlined. This rests on the possibility of constructing the transition pdf of a new …
functions is outlined. This rests on the possibility of constructing the transition pdf of a new …
On the asymptotic behaviour of first-passage-time densities for one-dimensional diffusion processes and varying boundaries
Making use of the integral equations given in [1],[2] and [3], the asymptotic behaviour of the
first-passage time (FPT) pdf's through certain time-varying boundaries, including periodic …
first-passage time (FPT) pdf's through certain time-varying boundaries, including periodic …
A note on the Volterra integral equation for the first-passage-time probability density
In this paper we prove the validity of the Volterra integral equation for the evaluation of first-
passage-time probability densities through varying boundaries, given by Buonocore et al.[1] …
passage-time probability densities through varying boundaries, given by Buonocore et al.[1] …
On a symmetry-based constructive approach to probability densities for two-dimensional diffusion processes
The method earlier introduced for one-dimensional diffusion processes [6] is extended to
obtain closed form expressions for the transition pdf's of two-dimensional diffusion …
obtain closed form expressions for the transition pdf's of two-dimensional diffusion …
First-passage-time density and moments of the Ornstein-Uhlenbeck process
LM Ricciardi, S Sato - Journal of Applied Probability, 1988 - cambridge.org
A detailed study of the asymptotic behavior of the first-passage-time pdf and its moments is
carried out for an unrestricted conditional Ornstein-Uhlenbeck process and for a constant …
carried out for an unrestricted conditional Ornstein-Uhlenbeck process and for a constant …
On an integral equation for first-passage-time probability densities
LM Ricciardi, L Sacerdote, S Sato - Journal of Applied Probability, 1984 - cambridge.org
We prove that for a diffusion process the first-passage-time pdf through a continuous-time
function with bounded derivative satisfies a Volterra integral equation of the second kind …
function with bounded derivative satisfies a Volterra integral equation of the second kind …