A first passage problem for three-dimensional diffusion processes
Let d(t) = [Φ(y(t)) + Ψ(z(t))]dt, where y(t) and z(t) are independent diffusion process. The problem of computing the moment generating function and the moments of[T(y, z)], where T(y, z) is a first passage time for (y(t), z(t)), is considered and solved explicitly in particular instances.
- Autores:
-
Lefebvre, Mario
- Tipo de recurso:
- Article of journal
- Fecha de publicación:
- 1999
- Institución:
- Universidad Nacional de Colombia
- Repositorio:
- Universidad Nacional de Colombia
- Idioma:
- spa
- OAI Identifier:
- oai:repositorio.unal.edu.co:unal/43732
- Acceso en línea:
- https://repositorio.unal.edu.co/handle/unal/43732
http://bdigital.unal.edu.co/33830/
- Palabra clave:
- Brownian motion
similarity solutions
integrated processes
- Rights
- openAccess
- License
- Atribución-NoComercial 4.0 Internacional
| Summary: | Let d(t) = [Φ(y(t)) + Ψ(z(t))]dt, where y(t) and z(t) are independent diffusion process. The problem of computing the moment generating function and the moments of[T(y, z)], where T(y, z) is a first passage time for (y(t), z(t)), is considered and solved explicitly in particular instances. |
|---|