Under a reasonable assumption the numerical procedure given in Buonocore et. al. (1987) to evaluate first-passage-time p.d.f.'s for one dimensional diffusion processes is modified in order to reduce the computational time from quadratic to linear. Two examples are then discussed to indicate effectiveness of the proposed method.
On the numerical evaluation of first-passage-time probability densities for one dimensional diffusion processes / Buonocore, Aniello; Visentin, Francesca. - In: RICERCHE DI MATEMATICA. - ISSN 0035-5038. - STAMPA. - 41:1(1992), pp. 147-161.
On the numerical evaluation of first-passage-time probability densities for one dimensional diffusion processes
BUONOCORE, ANIELLO;VISENTIN, FRANCESCA
1992
Abstract
Under a reasonable assumption the numerical procedure given in Buonocore et. al. (1987) to evaluate first-passage-time p.d.f.'s for one dimensional diffusion processes is modified in order to reduce the computational time from quadratic to linear. Two examples are then discussed to indicate effectiveness of the proposed method.File in questo prodotto:
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