Abstract
Bidimensional processes defined by dx(t) = ρ (x, y)dt and dy(t) = m(x, y)dt + [2v(x, y)]1/2dW(t),
where W(t) is a Wiener process, are considered. Let T(x, y) be the first time the process (x(t), y(t)), starting from (x, y), hits the boundary of a given region in . A theorem is proved that gives necessary and sufficient conditions for a given complex function to be considered as the moment generating function of T(x, y) for some bidimensional diffusion process. Examples are given where the theorem is used to construct explicit solutions to first hitting time problems and to compute the infinitesimal moments that correspond to the chosen moment generating function.
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability
Cited by
4 articles.
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