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 / A. G., Nobile; Ricciardi, LUIGI MARIA; L., Sacerdote. - In: JOURNAL OF APPLIED PROBABILITY. - ISSN 0021-9002. - STAMPA. - 22:2(1985), pp. 346-359. [10.2307/3213778]
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.File in questo prodotto:
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