Approximating the First Passage Time Density of Diffusion Processes with State-Dependent Jumps

Approximating the First Passage Time Density of Diffusion Processes with State-Dependent Jumps

We study the problem of the first passage time through a constant boundary for a jump diffusion process whose infinitesimal generator is a nonlocal Jacobi operator. Due to the lack of analytical results, we address the problem using a discretization scheme for simulating the trajectories of jump dif...

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Bibliographic Details
Main Authors: Giuseppe D’Onofrio, Alessandro Lanteri
Format: Article
Language:English
Published: MDPI AG 2022-12-01
Series:Fractal and Fractional
Subjects:
first passage time problem
Jacobi process
simulation algorithm
nonlocal operator
Wright–Fisher model
Online Access:https://www.mdpi.com/2504-3110/7/1/30

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https://www.mdpi.com/2504-3110/7/1/30

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