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A note on first-passage time and some related problems

Published online by Cambridge University Press:  14 July 2016

A. G. Nobile ,
L. M. Ricciardi  and
L. Sacerdote
A. G. Nobile*
Affiliation:
University of Salerno
L. M. Ricciardi*
Affiliation:
University of Naples
L. Sacerdote*
Affiliation:
University of Salerno
*
∗Postal address: Dipartimento di Informatica e Applicazioni, University of Salerno, Salerno, Italy.
∗∗Postal address: Dipartimento di Matematica e Applicazioni, University of Naples, Via Mezzocannone 8, 80134 Napoli, Italy.
∗Postal address: Dipartimento di Informatica e Applicazioni, University of Salerno, Salerno, Italy.
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Abstract

Expansions for the first-passage-time p.d.f. through a constant boundary and for its Laplace transform are derived in terms of probability currents for a temporally homogeneous diffusion process. Ultimate absorption and recurrence problems are also considered. The moments of the first-passage time are finally explicitly obtained.

Keywords

ULTIMATE ABSORPTIONRECURRENCEMOMENTS
Type
Research Papers
Information
Journal of Applied Probability , Volume 22 , Issue 2 , June 1985 , pp. 346 - 359
Copyright
Copyright © Applied Probability Trust 1985 

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Footnotes

Work performed under CNR-JSPS Scientific Cooperation Programme, Contracts No. 83.00032.01 and No. 84.00227.01, and under MPI financial support.

References

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