A note on first-passage time and some related problems
- 1 June 1985
- journal article
- research article
- Published by Cambridge University Press (CUP) in Journal of Applied Probability
- Vol. 22 (02) , 346-359
- https://doi.org/10.1017/s0021900200037815
Abstract
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.Keywords
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