On the estimation of first-passage time densities for a class of Gauss-Markov processes

Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)

Volumn 4739 LNCS, Issue , 2007, Pages 146-153

  Nobile, A G ^a   Pirozzi, E ^b   Ricciardi, L M ^b  

^a UNIVERSITY OF SALERNO   (Italy)

^b UNIVERSITY OF NAPLES FEDERICO II   (Italy)

Author keywords

[No Author keywords available]

Indexed keywords

ASYMPTOTIC ANALYSIS; BOUNDARY CONDITIONS; PROBABILITY DENSITY FUNCTION;

ASYMPTOTIC APPROXIMATION; FIRST PASSAGE TIME (FPT);

MARKOV PROCESSES;

EID: 38449098485     PISSN: 03029743     EISSN: 16113349     Source Type: Book Series    
DOI: 10.1007/978-3-540-75867-9_19     Document Type: Conference Paper

References (5)

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2. Giorno, V., Nobile, A.G., Ricciardi, L.M.: On the asymptotic behaviour of firstpassage-time densities for one-dimensional diffusion processes and varying boundaries. Adv. Appl. Prob. 22, 883-914 (1990)
3. Larson, H.J., Shubert, B.O.: Probabilistic models in engineering sciences. In: Random variables and stochastic processes, vol. 1, John Wiley & Sons, New York (1979)
4. Nobile, A.G., Ricciardi, L.M., Sacerdote, L.: Exponential trends of OrnsteinUhlenbeck first-passage-time densities. J. Appl. Prob. 22, 360-369 (1985)
5. Ricciardi, L.M., Di Crescenzo, A., Giorno, V., Nobile, A.G.: An outline of theoretical and algorithmic approaches to first passage time problems with applications to biological modeling. Math. Japónica 50, 247-322 (1999)