First-passage-time densities for time-non-homogeneous diffusion processes

First-passage-time densities for time-non-homogeneous diffusion processes

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Article ID: iaor1999480
Country: United Kingdom
Volume: 34
Issue: 3
Start Page Number: 623
End Page Number: 631
Publication Date: Sep 1997
Journal: Journal of Applied Probability
Authors: , , ,
Keywords: Volterra equations
Abstract:

In this paper we study a Volterra integral equation of the second kind, including two arbitrary continuous functions, in order to determine first-passage-time probability density functions through time-dependent boundaries for time-non-homogeneous one-dimensional diffusion processes with natural boundaries. These results generalize those which were obtained for time-homogeneous diffusion processes by Giorno et al. and for some particular classes of time-non-homogeneous diffusion processes by Gutiérrez et al.

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