An R package for an efficient approximation of first-passage-time densities for diffusion processes based on the FPTL function

作者：Roman Roman P; Serrano Perez J J^*; Torres Ruiz F

来源：Applied Mathematics and Computation, 2012, 218(17): 8408-8428.

DOI：10.1016/j.amc.2012.01.066

• Diffusion processes
• First-passage-time
• Volterra integral equations
• First-Passage-Time Location function
• R

This article presents an R package that implements a general heuristic strategy for the efficient application of numerical schemes for solving Volterra integral equations which have as solution first-passage-time density functions associated to certain stochastic processes. Such a strategy is based on the information provided by the First-Passage-Time Location (FPTL) function about the location of the first-passage-time variable, and it is valid for general situations that expand on the particular cases considered in Roman et al. (2008) [10]. Numerical applications are shown to illustrate the validity of the strategy as well as its computational advantages.

• 出版日期2012-5-1