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A Note on First-Passage Time and Some Related Problems
A. G. Nobile, L. M. Ricciardi and L. Sacerdote
Journal of Applied Probability
Vol. 22, No. 2 (Jun., 1985), pp. 346-359
Published by: Applied Probability Trust
Stable URL: http://www.jstor.org/stable/3213778
Page Count: 14
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Expansions for the first-passage-time p.d.f. through a constant boundary and for its Laplace transform are derived in terms of probability currents for a temporally homogeneous diffusion process. Ultimate absorption and recurrence problems are also considered. The moments of the first-passage time are finally explicitly obtained.
Journal of Applied Probability © 1985 Applied Probability Trust