Inference and first-passage-times for the lognormal diffusion process with exogenous factors: Application to modelling in economics

Applied Stochastic Models in Business and Industry

Volumn 15, Issue 4, 1999, Pages 325-332

  Gutierrez R ^a   Roman P ^a   Torres, F ^a  

^a UNIVERSITY OF GRANADA   (Spain)

Author keywords

[No Author keywords available]

Indexed keywords

INDUSTRIAL ECONOMICS; MATHEMATICAL MODELS; PROBABILITY DENSITY FUNCTION;

EXOGENOUS FACTORS; FIRST-PASSAGE TIMES; LOGNORMAL DIFFUSION PROCESS;

OPERATIONS RESEARCH;

EID: 0343442443     PISSN: 15241904     EISSN: None     Source Type: Journal    
DOI: 10.1002/(SICI)1526-4025(199910/12)15:4<325::AID-ASMB397>3.0.CO;2-F     Document Type: Article

References (9)

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4. Gutiérrez R, Román P, Torres F. Inference on univariate log-normal diffusion processes via first-passage-times, in: Proceedings of the Sixth International Symposium on A.S.M.D.A, Jansen J, Skiadas CH. (Eds.), Singapore, 1993; 330-339.
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8. Torres F. Aportaciones al estudio de difusiones estocásticas no homogéneas. Ph.D. Thesis. Universidad de Granada. 1993.
9. Buonocore A, Nobile AG, Ricciardi L. A new integral equation for the evaluation of first-passage-time probability densities. Advances in Applied Probability 1987; 19:784-800.