Author:
Gutiérrez R.,Ricciardi L. M.,Román P.,Torres F.
Abstract
In this paper we study a Volterra integral equation of the second kind, including two arbitrary continuous functions, in order to determine first-passage-time probability density functions through time-dependent boundaries for time-non-homogeneous one-dimensional diffusion processes with natural boundaries. These results generalize those which were obtained for time-homogeneous diffusion processes by Giorno et al. [3], and for some particular classes of time-non-homogeneous diffusion processes by Gutiérrez et al. [4], [5].
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability
Cited by
46 articles.
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