In this paper we study a Volterra integral equation of the second kind, including two arbitrary continuous functions, in order to determine first-passage-time probability density functions through time-dependent boundaries for time-non-homogeneous one-dimensional diffusion processes with natural boundaries.
First-passage-time densities for time-non-homogeneous diffusion processes / R., Gutiérrez; Ricciardi, LUIGI MARIA; P., Román; F., Torres. - In: JOURNAL OF APPLIED PROBABILITY. - ISSN 0021-9002. - STAMPA. - 34:(1997), pp. 623-631.
First-passage-time densities for time-non-homogeneous diffusion processes
RICCIARDI, LUIGI MARIA;
1997
Abstract
In this paper we study a Volterra integral equation of the second kind, including two arbitrary continuous functions, in order to determine first-passage-time probability density functions through time-dependent boundaries for time-non-homogeneous one-dimensional diffusion processes with natural boundaries.File in questo prodotto:
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