A note on the evaluation of first-passage-time probability densities
- 1 March 1983
- journal article
- research article
- Published by Cambridge University Press (CUP) in Journal of Applied Probability
- Vol. 20 (01) , 197-201
- https://doi.org/10.1017/s0021900200097084
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
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