Some preliminary results concerning the first-passage-time problem in R2 are sketched. Use of them is then made to obtain a closed-form expression of the first-crossing-time density of a Wiener process for a linear time-dependent boundary.
Some preliminary results on first crossing time densities for two-dimensional diffusion processes / A., DI CRESCENZO; V., Giorno; A. G., Nobile; Ricciardi, LUIGI MARIA. - STAMPA. - (1990), pp. 427-433.
Some preliminary results on first crossing time densities for two-dimensional diffusion processes
RICCIARDI, LUIGI MARIA
1990
Abstract
Some preliminary results concerning the first-passage-time problem in R2 are sketched. Use of them is then made to obtain a closed-form expression of the first-crossing-time density of a Wiener process for a linear time-dependent boundary.File in questo prodotto:
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