In this paper we analyze the dynamics of the diffusion bridges (or tieddown diffusion
processes), derived from time-non-homogeneous linear diffusion processes. For the …

зиж иК We introduce two numerical methods to determine the shape of a time dependent
boundary for the Ornstein-Uhlenbeck process that corresponds to an assigned first passage …

Full article: Asymptotic of the running maximum distribution of a Gaussian Bridge Skip to Main
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General methods to simulate probability density functions and first passage time densities
are provided for time-inhomogeneous stochastic diffusion processes obtained via a …

A ce jour, les méthodes formelles ont montré qu'elles étaient applicables avec succès au
développement de logiciels industriels. Pour maîtriser la complexité croissante de ces …

Algorithms to generate random variates from probability density function of Gauss–Markov
processes restricted by special lower reflecting boundary are formulated. They are …

After giving some background on neuron physiology, the classical (deterministic) models for
the generation of action potentials are briefly introduced and their limitations discussed, so …

The classical Haar construction of Brownian motion uses a binary tree of triangular wedge-
shaped functions. This basis has compactness properties which make it especially suited for …

Algorithms for the simulation of sample paths of Gauss–Markov processes, restricted from
below by particular time-dependent reflecting boundaries, are proposed. These algorithms …

In this paper, we study the inverse problem of reconstructing the spatially dependent
transition rate F (x) of a 1D Broadwell process from exit time distributions. In such a process …