Numerical determination of hitting time distributions from their Laplace transforms: One dimensional diffusions

Henryk Gzyl (), Enrique ter Horst and Minaya Villasana

Physica A: Statistical Mechanics and its Applications, 2015, vol. 419, issue C, 594-602

Abstract: In a previous paper we studied a method to determine the probability density of barrier crossing times by a Brownian motion from the knowledge of its Laplace transform. This knowledge combined with the method of maximum entropy yields quite good reconstructions. The aim of this work is to extend the previous analysis in two directions. On one hand, we consider diffusions with non constant coefficients. This forces us to determine the Laplace transform numerically or by means of simulations. On the other hand, and this is the gist of this note, as numerical problems involve errors, we consider as well two possible extensions of the maximum entropy procedure which allow us to incorporate those errors into the probability reconstruction process.

Keywords: Laplace transforms; Barrier crossing times; Fractional moment problems (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437114008437
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:419:y:2015:i:c:p:594-602

DOI: 10.1016/j.physa.2014.10.005

Access Statistics for this article

Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().