10 citations · 11 across the 6 of their papers we have counts for
5 papers · 1 filter
Approximating the first passage time density from data using generalized Laguerre polynomials
Elvira Di Nardo, Giuseppe D'Onofrio, Tommaso Martini
This paper analyzes a method to approximate the first passage time probability density function which turns to be particularly useful if only sample data are available. The method…
Jacobi processes with jumps as neuronal models: a first passage time analysis
Giuseppe D'Onofrio, Pierre Patie, Laura Sacerdote
To overcome some limits of classical neuronal models, we propose a Markovian generalization of the classical model based on Jacobi processes by introducing downwards jumps to descr…
Deterministic control of SDEs with stochastic drift and multiplicative noise: a variational approach
Giacomo Ascione, Giuseppe D'Onofrio
We consider a linear stochastic differential equation with stochastic drift and multiplicative noise. We study the problem of approximating its solution with the process that solve…
A cumulant approach for the first-passage-time problem of the Feller square-root process
Elvira Di Nardo, Giuseppe D'Onofrio
The paper focuses on an approximation of the first passage time probability density function of a Feller stochastic process by using cumulants and a Laguerre-Gamma polynomial appro…
An Optimal Gauss-Markov Approximation for a Process with Stochastic Drift and Applications
Giacomo Ascione, Giuseppe D'Onofrio, Lubomir Kostal +1
We consider a linear stochastic differential equation with stochastic drift. We study the problem of approximating the solution of such equation through an Ornstein-Uhlenbeck type…