First passage time distribution of a Wiener process with drift concerning two elastic barriers-Reference-Cited by-同舟云学术

First passage time distribution of a Wiener process with drift concerning two elastic barriers

Published:1996-03 Issue:01 Volume:33 Page:164-175
ISSN:0021-9002
Container-title:Journal of Applied Probability
language:en
Short-container-title:J. Appl. Probab.

Author:

Dominé Marco

Abstract

We solve the Fokker-Planck equation for the Wiener process with drift in the presence of elastic boundaries and a fixed start point. An explicit expression is obtained for the first passage density. The cases with pure absorbing and/or reflecting barriers arise for a special choice of a parameter constellation. These special cases are compared with results in Darling and Siegert [5] and Sweet and Hardin [15].

Publisher

Cambridge University Press (CUP)

Subject

Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability

Reference15 articles.

1. Diffusion processes in one dimension

2. The Parabolic Differential Equations and the Associated Semi-Groups of Transformations

3. First Passage Time Distribution of a Two-Dimensional Wiener Process with Drift

4. Moments of the first-passage time of a Wiener process with drift between two elastic barriers

5. The First Passage Problem for a Continuous Markov Process

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