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A note on the evaluation of first-passage-time probability densities

Published online by Cambridge University Press:  14 July 2016

L. M. Ricciardi and
S. Sato
L. M. Ricciardi*
Affiliation:
Università di Napoli
S. Sato*
Affiliation:
Osaka University
*
∗ Postal address: Istituto di Matematica dell ’Università, Via Mezzocannone 8, 80134 Napoli, Italy.
∗∗ Postal address: Department of Biophysical Engineering. Faculty of Engineering Science, Osaka University, Toyonaka, Osaka, Japan.
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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.

Keywords

STANDARD WIENER PROCESSDIFFUSION PROCESS TRANSFORMATIONSDURBIN’S ALGORITHM

Information

Type
Short Communications
Information
Journal of Applied Probability , Volume 20 , Issue 1 , March 1983, pp. 197 - 201
Copyright
Copyright © Applied Probability Trust 1983 

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Footnotes

Research carried out while this author was on leave of absence at Osaka University.

References

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