Moments of the first-passage time of a Wiener process with drift between two elastic barriers

被引：21

作者：

Domine, M

机构：

来源：

JOURNAL OF APPLIED PROBABILITY | 1995年 / 32卷 / 04期

关键词：

elastic boundaries; reflection; absorption;

D O I：

10.2307/3215214

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

The first-passage problem for the one-dimensional Wiener process with drift in the presence of elastic boundaries is considered. We use the Kolmogorov backward equation with corresponding boundary conditions to derive explicit closed-form expressions for the expected value and the variance of the first-passage time. Special cases with pure absorbing and/or reflecting barriers arise for a certain choice of a parameter constellation.

引用

页码：1007 / 1013

页数：7