Author:
Dominé Marco,Pieper Volkmar
Abstract
The two-dimensional correlated Wiener process (or Brownian motion) with drift is considered. The Fokker-Planck (or Kolmogorov forward) equation for the Wiener process (X1(t), X2(t)) is solved under absorbing boundary conditions on the lines x1= h1 and x2 = h2 and a fixed starting point (x0,1, x0,2). The first passage (or first exit) time when the process leaves the domain G = ( −∞, h1) × ( −∞, h2) is derived.
Publisher
Cambridge University Press (CUP)
Subject
Industrial and Manufacturing Engineering,Management Science and Operations Research,Statistics, Probability and Uncertainty,Statistics and Probability
Reference12 articles.
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