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Added: September 15, 2013 | Visits: 618
This code determines the mean first passage time (MFPT) of an Ornstein-Uhlenbeck process from analytical solutions obtained from M.U. Thomas (1975), S. Sato (1977), and S. Sato & M. Ricciardi (1988) (all articles published in J. Appl. Prob.).Note that this code yields a dimensionless MFPT (i.e....
Platforms: Matlab
License: Freeware | Size: 10 KB | Download (47): Mean First Passage Time of an Ornstein-Uhlenbeck Process Download |