The asymptotic behavior of the first-passage-time p.d.f. through a constant boundary is studied when the boundary approaches the endpoints of the diffusion interval. We show that for a class of diffusion processes possessing a steady-state distribution this p.d.f. is approximately exponential, the mean being the average first-passage time to the boundary. The proof is based on suitable recursive expressions for the moments of the first-passage time.
Exponential trends of first-passage-time densities for a class of diffusion processes with steady-state distribution / A. G., Nobile; Ricciardi, LUIGI MARIA; L., Sacerdote. - In: JOURNAL OF APPLIED PROBABILITY. - ISSN 0021-9002. - STAMPA. - 22:3(1985), pp. 611-618. [10.2307/3213864]
Exponential trends of first-passage-time densities for a class of diffusion processes with steady-state distribution
RICCIARDI, LUIGI MARIA;
1985
Abstract
The asymptotic behavior of the first-passage-time p.d.f. through a constant boundary is studied when the boundary approaches the endpoints of the diffusion interval. We show that for a class of diffusion processes possessing a steady-state distribution this p.d.f. is approximately exponential, the mean being the average first-passage time to the boundary. The proof is based on suitable recursive expressions for the moments of the first-passage time.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.