The asymptotic behavior of first passage time pdf through a constant boundary is studied when the boundary approaches the endpoints of the diffusion interval. We show that for a class of diffusion processes possessing a steady-state distribution this pdf is approximatively exponential, the mean being the average first-passage time to the boundary. The proof is based on suitable recursive expressions for the moments of the first-passage time.
Exponential trends of first passage time densities for a class of diffusion processes with steady-state distribution
NOBILE, Amelia Giuseppina;
1985-01-01
Abstract
The asymptotic behavior of first passage time pdf through a constant boundary is studied when the boundary approaches the endpoints of the diffusion interval. We show that for a class of diffusion processes possessing a steady-state distribution this pdf is approximatively exponential, the mean being the average first-passage time to the boundary. The proof is based on suitable recursive expressions for the moments of the first-passage time.File in questo prodotto:
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