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La necessità di metodi adatti al calcolo di densità del tempo di primo passaggio per processi gaussiani correlati è messa ampiamente in risalto nella letteratura. La procedura utilizzata simula le traiettorie del processo gaussiano con cavarianza
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______3730::77bff61a8cc859fa204de777b2017367
http://hdl.handle.net/11588/169873
http://hdl.handle.net/11588/169873
The method proposed in Franklin J.N. (1965) is adapted to simulate the sample paths of a normal process with a Butterworth type-2 covariance in order to obtain first-passage-time probability density functions through constant boundaries. In analogy w
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______3730::a0e02a818bcd9b2c4e6dce04ef6540df
http://hdl.handle.net/11588/169866
http://hdl.handle.net/11588/169866
Autor:
BUONOCORE, ANIELLO, F. IARDINO
The recent availability of large vector computing facilities has suggest that Monte Carlo methods could be profitably used to obtain statistical information on first-passage-time problems. In the present paper the results of a number of Monte Carlo s
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______3730::cb3c8f2deb3b0a79938aba4aa4c9c75e
http://hdl.handle.net/11588/169869
http://hdl.handle.net/11588/169869