FIRST PASSAGE TIME PROBLEMS AND SOME RELATED COMPUTATIONAL METHODS
- 1 April 1982
- journal article
- research article
- Published by Taylor & Francis in Cybernetics and Systems
- Vol. 13 (2) , 95-128
- https://doi.org/10.1080/01969728208927693
Abstract
Motivated by the interest of first passage time problems in neurobiology and in a variety of applied fields, we study the solution of first passage time equations for the Wiener and the Ornstein Uhlenbeck process both in the general case of time dependent threshold functions. Some computational results obtained by two different numerical methods are reported and briefly discussed.Keywords
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