We study the distribution of the nth-passage time of a onedimensional diffusion, obtained by a space or time transformation of Brownian motion, through a constant barrier a. Some explicit examples are reported.
Abundo, M., Scioscia Santoro, M.b. (2020). On the successive passage times of certain one-dimensional diffusions. In R. Moreno-Díaz, F. Pichler, A. Quesada-Arencibia (a cura di), Computer aided systems theory : EUROCAST 2019 (pp. 195-203). Springer [10.1007/978-3-030-45093-9_24].
On the successive passage times of certain one-dimensional diffusions
Abundo M.
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2020-01-01
Abstract
We study the distribution of the nth-passage time of a onedimensional diffusion, obtained by a space or time transformation of Brownian motion, through a constant barrier a. Some explicit examples are reported.File in questo prodotto:
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