A first passage problem for three-dimensional diffusion processes
- Autores: Mario Lefebvre
- Localización: Revista Colombiana de Matemáticas, ISSN-e 0034-7426, Vol. 33, Nº. 2, 1999, págs. 105-116
- Idioma: inglés
- Enlaces
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Resumen
Let d(t) = [Φ(y(t)) + Ψ(z(t))]dt, where y(t) and z(t) are independent diffusion process. The problem of computing the moment generating function and the moments of[T(y, z)], where T(y, z) is a first passage time for (y(t), z(t)), is considered and solved explicitly in particular instances.
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