First passage time distribution of a wiener process with drift concerning two elastic barriers

被引：26

作者：

Domine, M

机构：

来源：

JOURNAL OF APPLIED PROBABILITY | 1996年 / 33卷 / 01期

关键词：

first passage time; first exit time; elastic boundaries; reflection; absorption; Wiener process;

D O I：

10.2307/3215274

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：

We solve the Fokker-Planck equation for the Wiener process with drift in the presence of elastic boundaries and a fixed start point. An explicit expression is obtained for the first passage density. The cases with pure absorbing and/or reflecting barriers arise for a special choice of a parameter constellation. These special eases are compared with results in Darling and Siegert [5] and Sweet and Hardin [15].

引用

页码：164 / 175

页数：12

共 15 条

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[2]

BHATTACHARYA RN, 1990, STOCHASIC PROCESSES

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