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 by P. Román et al. [Comput. Stat. Data Anal. 52, No. 8, 4132–4146 (2008; Zbl 05565008)]. Numerical applications are shown to illustrate the validity of the strategy as well as its computational advantages.
Keywords for this software
References in zbMATH (referenced in 4 articles , 1 standard article )
Showing results 1 to 4 of 4.
- Román-Román, P.; Serrano-Pérez, J.J.; Torres-Ruiz, F.: More general problems on first-passage times for diffusion processes: a new version of the fptdApprox R package (2014)
- Albano, Giuseppina; Giorno, Virginia; Román-Román, Patricia; Torres-Ruiz, Francisco: On the effect of a therapy able to modify both the growth rates in a Gompertz stochastic model (2013)
- Román-Román, P.; Serrano-Pérez, J.J.; Torres-Ruiz, F.: An R package for an efficient approximation of first-passage-time densities for diffusion processes based on the FPTL function (2012)
- Román, P.; Serrano, J.J.; Torres, F.: First-passage-time location function: application to determine first-passage-time densities in diffusion processes (2008)