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

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 time
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11386/1737818
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