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.
1985
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]
File in questo prodotto:
Non ci sono file associati a questo prodotto.

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11588/159384
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus ND
  • ???jsp.display-item.citation.isi??? ND
social impact