Expansions for the first-passage-time through a constant boundary and for its Laplace transform are derived in terms of probability currents for a temporally homogeneous diffusion process. Ultimate absorption and recurrence problems are also considered. The moments of the first-passage time are finally explicitly obtained.
A note on first passage time and some related problems
NOBILE, Amelia Giuseppina;
1985-01-01
Abstract
Expansions for the first-passage-time through a constant boundary and for its Laplace transform are derived in terms of probability currents for a temporally homogeneous diffusion process. Ultimate absorption and recurrence problems are also considered. The moments of the first-passage time are finally explicitly obtained.File in questo prodotto:
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