MOMENTS OF THE FIRST-PASSAGE TIME OF A WIENER PROCESS WITH DRIFT BETWEEN 2 ELASTIC BARRIERS

Authors
DOMINE M
Citation
M. Domine, MOMENTS OF THE FIRST-PASSAGE TIME OF A WIENER PROCESS WITH DRIFT BETWEEN 2 ELASTIC BARRIERS, Journal of Applied Probability, 32(4), 1995, pp. 1007-1013
Citations number
4
Categorie Soggetti
Statistic & Probability","Statistic & Probability
Journal title
Journal of Applied Probability → ACNP
ISSN journal
00219002
Volume
32
Issue
4
Year of publication
1995
Pages
1007 - 1013
Database
ISI
SICI code
0021-9002(1995)32:4<1007:MOTFTO>2.0.ZU;2-U
Abstract
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 corresponding boundary conditions to derive explicit closed-form expressions for the expected value and th e variance of the first-passage time. Special cases with pure absorbin g and/or reflecting barriers arise for a certain choice of a parameter constellation.