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 and some related problems

RICCIARDI, LUIGI MARIA;
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.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11588/159384
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