Exponential trends of first-passage-time densities for a class of diffusion processes with steady-state distribution
- 1 June 1985
- journal article
- research article
- Published by Cambridge University Press (CUP) in Journal of Applied Probability
- Vol. 22 (03) , 611-618
- https://doi.org/10.1017/s0021900200029363
Abstract
The asymptotic behavior of the first-passage-time p.d.f. through a constant boundary is studied when the boundary approaches the endpoints of the diffusion interval. We show that for a class of diffusion processes possessing a steady-state distribution this p.d.f. is approximately exponential, the mean being the average first-passage time to the boundary. The proof is based on suitable recursive expressions for the moments of the first-passage time.Keywords
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