fptdApprox
swMATH ID:  6381 
Software Authors:  RománRomán, P.; SerranoPérez, J.J.; TorresRuiz, F. 
Description:  This article presents an R package that implements a general heuristic strategy for the efficient application of numerical schemes for solving Volterra integral equations which have as solution firstpassagetime density functions associated to certain stochastic processes. Such a strategy is based on the information provided by the FirstPassageTime Location (FPTL) function about the location of the firstpassagetime variable, and it is valid for general situations that expand on the particular cases considered by P. Román et al. [Comput. Stat. Data Anal. 52, No. 8, 4132–4146 (2008; Zbl 05565008)]. Numerical applications are shown to illustrate the validity of the strategy as well as its computational advantages. 
Homepage:  http://cran.rproject.org/src/contrib/Archive/fptdApprox/ 
Dependencies:  R 
Related Software:  R; pchip; sde; DiffProc 
Referenced in:  6 Publications 
Standard Articles
1 Publication describing the Software, including 1 Publication in zbMATH  Year 

An R package for an efficient approximation of firstpassagetime densities for diffusion processes based on the FPTL function. Zbl 1245.65183 RománRomán, P.; SerranoPérez, J. J.; TorresRuiz, F. 
2012

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top 5
Referenced by 8 Authors
5  Román Román, Patricia 
3  SerranoPérez, Juan José 
2  Giorno, Virginia 
1  Albano, Giuseppina 
1  RománRomán, Sergio 
1  Román, Patricia 
1  Serrano, Juan José 
1  Spina, Serena 
Referenced in 4 Serials
2  Applied Mathematics and Computation 
2  Computational Statistics and Data Analysis 
1  Mathematical Biosciences 
1  Journal of Theoretical Biology 
Referenced in 5 Fields
3  Integral equations (45XX) 
3  Probability theory and stochastic processes (60XX) 
2  Statistics (62XX) 
2  Numerical analysis (65XX) 
2  Biology and other natural sciences (92XX) 