We deal with the qualitative behaviour of the first-passage-time density of a one-dimensional diffusion process X(t) over a moving boundary; in particular, we study the value that the first-passage time density takes at zero, the distribution of the maximum process, and the distribution of the first instant at which X(t) attains the maximum in an interval [0,T]. Our results generalize the analogous ones already known for Brownian motion. Some examples are reported.
Abundo, M.r. (2006). Qualitative behaviour of the first-passage-time density of a one-dimensional diffusion over a moving boundary. SCIENTIAE MATHEMATICAE JAPONICAE, 64(2), 199-216.
Qualitative behaviour of the first-passage-time density of a one-dimensional diffusion over a moving boundary
ABUNDO, MARIO ROSOLINO
2006-01-01
Abstract
We deal with the qualitative behaviour of the first-passage-time density of a one-dimensional diffusion process X(t) over a moving boundary; in particular, we study the value that the first-passage time density takes at zero, the distribution of the maximum process, and the distribution of the first instant at which X(t) attains the maximum in an interval [0,T]. Our results generalize the analogous ones already known for Brownian motion. Some examples are reported.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
