On the First-Passage Time Problem for a Feller-Type Diffusion Process

On the First-Passage Time Problem for a Feller-Type Diffusion Process

We consider the first-passage time problem for the Feller-type diffusion process, having infinitesimal drift <inline-formula><math xmlns="http://www.w3.org/1998/Math/MathML" display="inline"><semantics><mrow><msub><mi>B</mi><mn>1<...

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Bibliographic Details
Main Authors: Virginia Giorno, Amelia G. Nobile
Format: Article
Language:English
Published: MDPI AG 2021-10-01
Series:Mathematics
Subjects:
first-passage time densities
Laplace transforms
Wiener process
Ornstein-Uhlenbeck process
first-passage time moments
asymptotic behaviors
Online Access:https://www.mdpi.com/2227-7390/9/19/2470

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https://www.mdpi.com/2227-7390/9/19/2470

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