On the evaluation of first-passage-time probability densities via non-singular integral equations
- 1 March 1989
- journal article
- Published by Cambridge University Press (CUP) in Advances in Applied Probability
- Vol. 21 (1) , 20-36
- https://doi.org/10.2307/1427196
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
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