作者
LM Ricciardi, L Sacerdote, S Sato
发表日期
1984/6
期刊
Journal of Applied Probability
卷号
21
期号
2
页码范围
302-314
出版商
Cambridge University Press
简介
We prove that for a diffusion process the first-passage-time p.d.f. through a continuous-time function with bounded derivative satisfies a Volterra integral equation of the second kind whose kernel and right-hand term are probability currents. For the case of the standard Wiener process this equation is solved in closed form not only for the class of boundaries already introduced by Park and Paranjape [15] but also for all boundaries of the type S(I) = a + bt ‘/p (p ∼ 2, a, b E ∼) for which no explicit analytical results have previously been available.
引用总数
1985198619871988198919901991199219931994199519961997199819992000200120022003200420052006200720082009201020112012201320142015201620172018201920202021202220232024415431141112151412249114732531231142
学术搜索中的文章