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

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) . Numerical applications are shown to illustrate the validity of the strategy as well as its computational advantages.