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

A new computationally simple, speedy and accurate method is proposed to construct first-passage-time probability density functions for Gauss–Markov processes through time-dependent boundaries, both for fixed and for random initial states. Some applications to Brownian motion and to the Brownian brid...

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Veröffentlicht in:Advances in applied probability 2001-06, Vol.33 (2), p.453-482
Hauptverfasser: Di Nardo, E., Nobile, A. G., Pirozzi, E., Ricciardi, L. M.
Format: Artikel
Sprache:eng
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Zusammenfassung:A new computationally simple, speedy and accurate method is proposed to construct first-passage-time probability density functions for Gauss–Markov processes through time-dependent boundaries, both for fixed and for random initial states. Some applications to Brownian motion and to the Brownian bridge are then provided together with a comparison with some computational results by Durbin and by Daniels. Various closed-form results are also obtained for classes of boundaries that are intimately related to certain symmetries of the processes considered.
ISSN:0001-8678
1475-6064
DOI:10.1017/S0001867800010892