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On the evaluation of first-passage-time probability densities via non-singular integral equations

Published online by Cambridge University Press:  01 July 2016

V. Giorno ,
A. G. Nobile ,
L. M. Ricciardi  and
S. Sato
V. Giorno*
Affiliation:
University of Salerno
A. G. Nobile*
Affiliation:
University of Salerno
L. M. Ricciardi*
Affiliation:
University of Naples
S. Sato*
Affiliation:
Osaka University
*
∗Postal address: Dipartimento di Informatica e Applicazioni, University of Salerno, 84100 Salerno, Italy.
∗Postal address: Dipartimento di Informatica e Applicazioni, University of Salerno, 84100 Salerno, Italy.
∗∗ Postal address: Dipartimento di Matematica e Applicazioni, Università di Napoli, 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

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.

Keywords

DIFFUSION PROCESSESVARYING BOUNDARIESRESTRICTED PROCESSES
Type
Research Article
Information
Advances in Applied Probability , Volume 21 , Issue 1 , March 1989 , pp. 20 - 36
Copyright
Copyright © Applied Probability Trust 1989 

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References

1. Buonocore, A., Nobile, A. G. and Ricciardi, L. M. (1987) A new integral equation for the evaluation of first-passage-time probability densities. Adv. Appl. Prob. 19, 784–800.Google Scholar
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