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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oai_identifier_str oai:repositorio.unal.edu.co:unal/43732
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repository_id_str
spelling 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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url https://repositorio.unal.edu.co/handle/unal/43732
http://bdigital.unal.edu.co/33830/
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dc.relation.spa.fl_str_mv http://revistas.unal.edu.co/index.php/recolma/article/view/33752
dc.relation.ispartof.spa.fl_str_mv 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 .
dc.rights.spa.fl_str_mv Derechos reservados - Universidad Nacional de Colombia
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dc.rights.license.spa.fl_str_mv Atribución-NoComercial 4.0 Internacional
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rights_invalid_str_mv 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
eu_rights_str_mv openAccess
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dc.publisher.spa.fl_str_mv Universidad Nacuional de Colombia; Sociedad Colombiana de matemáticas
institution Universidad Nacional de Colombia
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