Some problems of first-crossing times over two time-dependent boundaries for one-dimensional diffusion processes are considered. The moments of the first-crossing times over each boundary are shown to be the solutions of certain partial differential equations with suitable boundary conditions. For some examples where the boundaries are constant, the results are illustrated graphically.
Abundo, M.r. (2000). On first-crossing times of one-dimensional diffusions over two time-dependent boundaries. STOCHASTIC ANALYSIS AND APPLICATIONS, 18(2), 179-200 [10.1080/07362990008809663].
On first-crossing times of one-dimensional diffusions over two time-dependent boundaries
ABUNDO, MARIO ROSOLINO
2000-01-01
Abstract
Some problems of first-crossing times over two time-dependent boundaries for one-dimensional diffusion processes are considered. The moments of the first-crossing times over each boundary are shown to be the solutions of certain partial differential equations with suitable boundary conditions. For some examples where the boundaries are constant, the results are illustrated graphically.File in questo prodotto:
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