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Erschienen in:
2012 | OriginalPaper | Buchkapitel
First-Passage-Time for Gauss-Diffusion Processes via Integrated Analytical, Simulation and Numerical Methods
verfasst von : Aniello Buonocore, Luigia Caputo, Enrica Pirozzi
Erschienen in: Computer Aided Systems Theory – EUROCAST 2011
Verlag: Springer Berlin Heidelberg
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In the study of the dynamics of a system subject to stochastic evolution, the attention is usually focused on the laws regulating the time course of the distribution function (df), or the transition probability density function (pdf), by which one can express the probability for the system to occupy at given times any preassigned configuration of the state space. In other words, it is customary to pay attention to the time evolution of the considered system through the state space starting either from a uniquely preassigned initial state or from a state whose probability distribution is assumed to be given.