For two-dimensional time-homogeneous diffusion processes the first-passage-time crossing through closed time-dependent boundaries admitting of parametric representations is studied. For the case of elliptic time-varying boundaries the m.g.f. of the first-passage time is obtained in closed form for the Wiener and the Ornstein-Uhlenbeck (OU) processes in R^2
First-crossing time problems for diffusion processes in R^2 through particular closed curves
GIORNO, Virginia;DI CRESCENZO, Antonio;NOBILE, Amelia Giuseppina;
1989-01-01
Abstract
For two-dimensional time-homogeneous diffusion processes the first-passage-time crossing through closed time-dependent boundaries admitting of parametric representations is studied. For the case of elliptic time-varying boundaries the m.g.f. of the first-passage time is obtained in closed form for the Wiener and the Ornstein-Uhlenbeck (OU) processes in R^2File in questo prodotto:
Non ci sono file associati a questo prodotto.
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
