A computational approach to first-passage-time problems for Gauss-Markov processes

Advances in Applied Probability

Volumn 33, Issue 2, 2001, Pages 453-482

  Di Nardo, E ^a   Nobile, A G ^a   Pirozzi, E ^a   Ricciardi, L M ^a  

^a UNIVERSITY OF BASILICATA   (Italy)

Author keywords

Brownian bridge; Daniels boundary; Varying boundaries; Volterra integral equations

Indexed keywords

BROWNIAN MOVEMENT; COMPUTATIONAL METHODS; INTEGRAL EQUATIONS; MARKOV PROCESSES; PROBLEM SOLVING;

FIRST-PASSAGE-TIME (FPT) PROBLEMS;

PROBABILITY DENSITY FUNCTION;

EID: 0035360022     PISSN: 00018678     EISSN: None     Source Type: Journal    
DOI: 10.1239/aap/999188324     Document Type: Article

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