First passage time distribution of a Wiener process with drift concerning two elastic barriers
M Dominé - Journal of Applied Probability, 1996 - cambridge.org
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 …
elastic boundaries and a fixed start point. An explicit expression is obtained for the first …
Moments of the first-passage time of a Wiener process with drift between two elastic barriers
M Domine - Journal of Applied Probability, 1995 - cambridge.org
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 …
of elastic boundaries is considered. We use the Kolmogorov backward equation with …
The Wiener process between a reflecting and an absorbing barrier
W Schwarz - Journal of applied probability, 1992 - cambridge.org
We consider a Wiener process between a reflecting and an absorbing barrier and derive a
series solution for the transition density of the process and for the density of the time to …
series solution for the transition density of the process and for the density of the time to …
First passage time distribution of a two-dimensional Wiener process with drift
M Dominé, V Pieper - … in the Engineering and Informational Sciences, 1993 - cambridge.org
The two-dimensional correlated Wiener process (or Brownian motion) with drift is
considered. The Fokker-Planck (or Kolmogorov forward) equation for the Wiener process …
considered. The Fokker-Planck (or Kolmogorov forward) equation for the Wiener process …
Evaluation of the first-passage time probability to a square root boundary for the Wiener process
S Sato - Journal of Applied Probability, 1977 - cambridge.org
EVALUATION OF THE FIRST-PASSAGE TIME PROBABILITY TO A SQUARE ROOT BOUNDARY
FOR THE WIENER PROCESS 1. Introduction Page 1 J. Appl. Prob. 14, 850-856 (1977) Printed …
FOR THE WIENER PROCESS 1. Introduction Page 1 J. Appl. Prob. 14, 850-856 (1977) Printed …
First passage problems for asymmetric Wiener processes
M Lefebvre - Journal of applied probability, 2006 - cambridge.org
The problem of computing the moment generating function of the first passage time T to a> 0
or− b< 0 for a one-dimensional Wiener process {X (t), t≥ 0} is generalized by assuming that …
or− b< 0 for a one-dimensional Wiener process {X (t), t≥ 0} is generalized by assuming that …
On the probability densities of an Ornstein–Uhlenbeck process with a reflecting boundary
LM Ricciardi, L Sacerdote - Journal of Applied Probability, 1987 - cambridge.org
We show that the transition pdf of the Ornstein–Uhlenbeck process with a reflection
condition at an assigned state S is related by integral-type equations to the free transition …
condition at an assigned state S is related by integral-type equations to the free transition …
Exponential trends of Ornstein–Uhlenbeck first-passage-time densities
AG Nobile, LM Ricciardi, L Sacerdote - Journal of Applied Probability, 1985 - cambridge.org
The asymptotic behaviour of the first-passage-time pdf through a constant boundary for an
Ornstein–Uhlenbeck process is investigated for large boundaries. It is shown that an …
Ornstein–Uhlenbeck process is investigated for large boundaries. It is shown that an …
An unbiased estimator for the drift of a stopped Wiener process
B Ferebee - Journal of Applied Probability, 1983 - cambridge.org
An unbiased estimator is given for the drift of a Wiener process which is observed up to a
stopping time. For first-passage times across a moving boundary the estimator can be …
stopping time. For first-passage times across a moving boundary the estimator can be …
New bounds for the first passage, wave-length and amplitude densities
I Rychlik - Stochastic processes and their applications, 1990 - Elsevier
Durbin has presented a compact formula for the first passage density of a Gaussian process,
which is locally like Brownian motion, to a smooth barrier. In previous work, we have …
which is locally like Brownian motion, to a smooth barrier. In previous work, we have …