Expansions for the first-passage-time p.d.f. 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 problems.

SACERDOTE, Laura Lea
1985

Abstract

Expansions for the first-passage-time p.d.f. 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.
22
346
359
Recurrence; Ultimate Absorbtion; Moments
NOBILE A.G.; RICCIARDI L.M.; L. SACERDOTE
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/2318/9679
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