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math.PR2012★ 24 cited
First passage times of two-correlated processes: analytical results for the Wiener process and a numerical method for diffusion processes
Laura Sacerdote, Massimiliano Tamborrino, Cristina Zucca
Given a two-dimensional correlated diffusion process, we determine the joint density of the first passage times of the process to some constant boundaries. This quantity depends on…
math.PR2012★ 1 cited
A first passage problem for a bivariate diffusion process: numerical solution with an application to neuroscience
Elisa Benedetto, Laura Sacerdote, Cristina Zucca
We consider a bivariate diffusion process and we study the first passage time of one component through a boundary. We prove that its probability density is the unique solution of a…