A particular class of time-homogeneous diffusion processes defined over the interval I = [r, r2) is considered, where r is a regular or an entrance boundary and r2 is a natural boundary. For these processes the transition probability density function, the Laplace transform of the first passage time density and its moments afe explicitly obtained in terms of the mean first passage time.
On the first passage time moments for a class of specially confined diffusion processes / V., Giorno; A. G., Nobile; Ricciardi, LUIGI MARIA. - STAMPA. - (2000), pp. 312-317.
On the first passage time moments for a class of specially confined diffusion processes
RICCIARDI, LUIGI MARIA
2000
Abstract
A particular class of time-homogeneous diffusion processes defined over the interval I = [r, r2) is considered, where r is a regular or an entrance boundary and r2 is a natural boundary. For these processes the transition probability density function, the Laplace transform of the first passage time density and its moments afe explicitly obtained in terms of the mean first passage time.File in questo prodotto:
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