49 citations · 76 across the 12 of their papers we have counts for
10 papers · 1 filter
Some exact results on Lindley process with Laplace jumps
Emanuele Lucrezia, Laura Sacerdote, Cristina Zucca
We consider a Lindley process with Laplace distributed space increments. We obtain closed form recursive expressions for the density function of the position of the process and for…
Exact simulation of diffusion first exit times: algorithm acceleration
Samuel Herrmann, Cristina Zucca
In order to describe or estimate different quantities related to a specific random variable, it is of prime interest to numerically generate such a variate. In specific situations,…
Exact simulation of first exit times for one-dimensional diffusion processes
Samuel Herrmann, C. Zucca
The simulation of exit times for diffusion processes is a challenging task since it concerns many applications in different fields like mathematical finance, neuroscience, reliabil…
The Inverse first passage time method for a two dimensional Ornstein Uhlenbeck process with neuronal application
Alessia Civallero, Cristina Zucca
The Inverse First Passage time problem seeks to determine the boundary corresponding to a given stochastic process and a fixed first passage time distribution. Here, we determine t…
Exact simulation of the first-passage time of diffusions
Samuel Herrmann, Cristina Zucca
Since diffusion processes arise in so many different fields, efficient tech-nics for the simulation of sample paths, like discretization schemes, represent crucial tools in applied…
A mathematical model for the atomic clock error in case of jumps
Cristina Zucca, Patrizia Tavella
We extend the mathematical model based on stochastic differential equations describing the error gained by an atomic clock to the cases of anomalous behavior including jumps and an…