On first-crossing times of one-dimensional diffusions over two time-dependent boundaries

Some problems of first-crossing times over two time-dependent boundaries for one-dimensional diffusion processes are considered. The moments of the first-crossing times over each boundary are shown to be the solutions of certain partial differential equations with suitable boundary conditions. For s...

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Veröffentlicht in:	Stochastic analysis and applications 2000, Vol.18 (2), p.179-200
1. Verfasser:	Abundo, Mario
Format:	Artikel
Sprache:	eng
Schlagworte:	Exact sciences and technology Global analysis, analysis on manifolds Mathematical analysis Mathematics Ordinary differential equations Partial differential equations Probability and statistics Probability theory and stochastic processes Sciences and techniques of general use Stochastic processes Topology. Manifolds and cell complexes. Global analysis and analysis on manifolds
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Zusammenfassung:	Some problems of first-crossing times over two time-dependent boundaries for one-dimensional diffusion processes are considered. The moments of the first-crossing times over each boundary are shown to be the solutions of certain partial differential equations with suitable boundary conditions. For some examples where the boundaries are constant, the results are illustrated graphically
ISSN:	0736-2994 1532-9356
DOI:	10.1080/07362990008809663