An R package for an efficient approximation of first-passage-time densities for diffusion processes based on the FPTL function

Abstract

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 in Román et al. (2008) [10]. Numerical applications are shown to illustrate the validity of the strategy as well as its computational advantages.