Some preliminary results concerning the first-passage-time problem in R^2 are sketched. Use of them is then made to obtain a closed-form expression of the first-crossing-time density of aWiener process for a linear time-dependent boundary
Some preliminary results on first crossing time densities for two-dimensional diffusion processes
DI CRESCENZO, Antonio;GIORNO, Virginia;NOBILE, Amelia Giuseppina;
1990
Abstract
Some preliminary results concerning the first-passage-time problem in R^2 are sketched. Use of them is then made to obtain a closed-form expression of the first-crossing-time density of aWiener process for a linear time-dependent boundaryFile in questo prodotto:
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