A particular class of time-homogeneous diffusion processes defined over the interval I = [r, r2) is considered, where r is a regular or an entrance boundary and r2 is a natural boundary. For these processes the transition probability density function, the Laplace transform of the first passage time density and its moments are explicitly obtained in terms of the mean first passage time
On the first passage time moments for a class of specially confined diffusion processes
GIORNO, Virginia;NOBILE, Amelia Giuseppina;
2000-01-01
Abstract
A particular class of time-homogeneous diffusion processes defined over the interval I = [r, r2) is considered, where r is a regular or an entrance boundary and r2 is a natural boundary. For these processes the transition probability density function, the Laplace transform of the first passage time density and its moments are explicitly obtained in terms of the mean first passage timeFile in questo prodotto:
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