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^2
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11386/3137778
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