Add to ORKGWe 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
For a one-dimensional jump-diffusion process X(t), starting from x > 0, it is studied the probabilit...
Some preliminary results concerning the first-passage-time problem in R^2 are sketched. Use of them ...
A new method for constructing first-passage-time probability density functions in the case of regula...
We deal with the qualitative behaviour of the first-passage-time density of a one-dimensional dif...
We deal with the qualitative behaviour of the first-passage-time density of a one-dimensional dif...
We study the limit at zero of the first-passage time density of a one-dimensional diffusion process ...
Some problems about the asymptotics of the first-passage time of a one-dimensional diffusion process...
The asymptotic behavior of the first-passage-time p.d.f. through a constant boundary is studied when...
Making use of the integral equations given in [1], [2] and [3], the asymptotic behaviour of the firs...
The asymptotic behavior of first passage time pdf through a constant boundary is studied when the bo...
For a one-dimensional jump-diffusion process X(t), starting from x > 0, it is studied the probabilit...
Some preliminary results concerning the first-passage-time problem in R^2 are sketched. Use of them ...
A new method for constructing first-passage-time probability density functions in the case of regula...
We deal with the qualitative behaviour of the first-passage-time density of a one-dimensional dif...
We deal with the qualitative behaviour of the first-passage-time density of a one-dimensional dif...
We study the limit at zero of the first-passage time density of a one-dimensional diffusion process ...
Some problems about the asymptotics of the first-passage time of a one-dimensional diffusion process...
The asymptotic behavior of the first-passage-time p.d.f. through a constant boundary is studied when...
Making use of the integral equations given in [1], [2] and [3], the asymptotic behaviour of the firs...
The asymptotic behavior of first passage time pdf through a constant boundary is studied when the bo...
For a one-dimensional jump-diffusion process X(t), starting from x > 0, it is studied the probabilit...
Some preliminary results concerning the first-passage-time problem in R^2 are sketched. Use of them ...
A new method for constructing first-passage-time probability density functions in the case of regula...