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math.PR2019
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…
math.PR2019
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…