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fptdApprox

swMATH ID: 6381
Software Authors: Román-Román, P.; Serrano-Pérez, J.J.; Torres-Ruiz, 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 first-passage-time density functions associated to certain stochastic processes. Such a strategy is based on the information provided by the First-Passage-Time Location (FPTL) function about the location of the first-passage-time 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.r-project.org/src/contrib/Archive/fptdApprox/
Dependencies: R
Related Software: R; pchip; sde; DiffProc
Referenced in: 6 Publications

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