The Inverse first passage time method for a two dimensional Ornstein Uhlenbeck process with neuronal application
Civallero, Alessia ; Zucca, Cristina
arXiv, Tome 2019 (2019) no. 0, / Harvested from
The Inverse First Passage time problem seeks to determine the boundary corresponding to a given stochastic process and a fixed first passage time distribution. Here, we determine the numerical solution of this problem in the case of a two dimensional Gauss-Markov diffusion process. We investigate the boundary shape corresponding to Inverse Gaussian or Gamma first passage time distributions for different choices of the parameters, including heavy and light tails instances. Applications in neuroscience framework are illustrated.
Publié le : 2019-03-12
Classification:  Mathematics - Probability,  Statistics - Methodology 
@article{1903.04927,
     author = {Civallero, Alessia and Zucca, Cristina},
     title = {The Inverse first passage time method for a two dimensional Ornstein
  Uhlenbeck process with neuronal application},
     journal = {arXiv},
     volume = {2019},
     number = {0},
     year = {2019},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1903.04927}
}

Civallero, Alessia; Zucca, Cristina. The Inverse first passage time method for a two dimensional Ornstein
  Uhlenbeck process with neuronal application. arXiv, Tome 2019 (2019) no. 0, . http://gdmltest.u-ga.fr/item/1903.04927/