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
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Atribución-NoComercial 4.0 InternacionalDerechos reservados - Universidad Nacional de Colombiahttp://creativecommons.org/licenses/by-nc/4.0/info:eu-repo/semantics/openAccesshttp://purl.org/coar/access_right/c_abf2Lefebvre, Mario367e4b41-bcf4-4e6b-8a4d-2032650f0b4a3002019-06-28T12:22:40Z2019-06-28T12:22:40Z1999https://repositorio.unal.edu.co/handle/unal/43732http://bdigital.unal.edu.co/33830/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.application/pdfspaUniversidad Nacuional de Colombia; Sociedad Colombiana de matemáticashttp://revistas.unal.edu.co/index.php/recolma/article/view/33752Universidad Nacional de Colombia Revistas electrónicas UN Revista Colombiana de MatemáticasRevista Colombiana de MatemáticasRevista Colombiana de Matemáticas; Vol. 33, núm. 2 (1999); 105-116 0034-7426Lefebvre, Mario (1999) A first passage problem for three-dimensional diffusion processes. Revista Colombiana de Matemáticas; Vol. 33, núm. 2 (1999); 105-116 0034-7426 .A first passage problem for three-dimensional diffusion processesArtículo de revistainfo:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/resource_type/c_6501http://purl.org/coar/resource_type/c_2df8fbb1http://purl.org/coar/version/c_970fb48d4fbd8a85Texthttp://purl.org/redcol/resource_type/ARTBrownian motionsimilarity solutionsintegrated processesORIGINAL33752-126720-1-PB.pdfapplication/pdf4416530https://repositorio.unal.edu.co/bitstream/unal/43732/1/33752-126720-1-PB.pdf4f1ab072a4b6c061f540477bda234a77MD51THUMBNAIL33752-126720-1-PB.pdf.jpg33752-126720-1-PB.pdf.jpgGenerated Thumbnailimage/jpeg6350https://repositorio.unal.edu.co/bitstream/unal/43732/2/33752-126720-1-PB.pdf.jpg9508932e779e757243fc9db9ac960133MD52unal/43732oai:repositorio.unal.edu.co:unal/437322024-02-11 23:19:05.515Repositorio Institucional Universidad Nacional de Colombiarepositorio_nal@unal.edu.co |
| dc.title.spa.fl_str_mv |
A first passage problem for three-dimensional diffusion processes |
| title |
A first passage problem for three-dimensional diffusion processes |
| spellingShingle |
A first passage problem for three-dimensional diffusion processes Brownian motion similarity solutions integrated processes |
| title_short |
A first passage problem for three-dimensional diffusion processes |
| title_full |
A first passage problem for three-dimensional diffusion processes |
| title_fullStr |
A first passage problem for three-dimensional diffusion processes |
| title_full_unstemmed |
A first passage problem for three-dimensional diffusion processes |
| title_sort |
A first passage problem for three-dimensional diffusion processes |
| dc.creator.fl_str_mv |
Lefebvre, Mario |
| dc.contributor.author.spa.fl_str_mv |
Lefebvre, Mario |
| dc.subject.proposal.spa.fl_str_mv |
Brownian motion similarity solutions integrated processes |
| topic |
Brownian motion similarity solutions integrated processes |
| description |
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. |
| publishDate |
1999 |
| dc.date.issued.spa.fl_str_mv |
1999 |
| dc.date.accessioned.spa.fl_str_mv |
2019-06-28T12:22:40Z |
| dc.date.available.spa.fl_str_mv |
2019-06-28T12:22:40Z |
| dc.type.spa.fl_str_mv |
Artículo de revista |
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http://purl.org/coar/resource_type/c_2df8fbb1 |
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info:eu-repo/semantics/article |
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info:eu-repo/semantics/publishedVersion |
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http://purl.org/coar/resource_type/c_6501 |
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http://purl.org/coar/version/c_970fb48d4fbd8a85 |
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Text |
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http://purl.org/redcol/resource_type/ART |
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http://purl.org/coar/resource_type/c_6501 |
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publishedVersion |
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https://repositorio.unal.edu.co/handle/unal/43732 |
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http://bdigital.unal.edu.co/33830/ |
| url |
https://repositorio.unal.edu.co/handle/unal/43732 http://bdigital.unal.edu.co/33830/ |
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spa |
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spa |
| dc.relation.spa.fl_str_mv |
http://revistas.unal.edu.co/index.php/recolma/article/view/33752 |
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Universidad Nacional de Colombia Revistas electrónicas UN Revista Colombiana de Matemáticas Revista Colombiana de Matemáticas |
| dc.relation.ispartofseries.none.fl_str_mv |
Revista Colombiana de Matemáticas; Vol. 33, núm. 2 (1999); 105-116 0034-7426 |
| dc.relation.references.spa.fl_str_mv |
Lefebvre, Mario (1999) A first passage problem for three-dimensional diffusion processes. Revista Colombiana de Matemáticas; Vol. 33, núm. 2 (1999); 105-116 0034-7426 . |
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Derechos reservados - Universidad Nacional de Colombia |
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http://purl.org/coar/access_right/c_abf2 |
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Atribución-NoComercial 4.0 Internacional |
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http://creativecommons.org/licenses/by-nc/4.0/ |
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info:eu-repo/semantics/openAccess |
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Atribución-NoComercial 4.0 Internacional Derechos reservados - Universidad Nacional de Colombia http://creativecommons.org/licenses/by-nc/4.0/ http://purl.org/coar/access_right/c_abf2 |
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openAccess |
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application/pdf |
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Universidad Nacuional de Colombia; Sociedad Colombiana de matemáticas |
| institution |
Universidad Nacional de Colombia |
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