FIRST PASSAGE TIME DISTRIBUTION OF A WIENER PROCESS WITH DRIFT CONCERNING 2 ELASTIC BARRIERS

Authors
DOMINE M
Citation
M. Domine, FIRST PASSAGE TIME DISTRIBUTION OF A WIENER PROCESS WITH DRIFT CONCERNING 2 ELASTIC BARRIERS, Journal of Applied Probability, 33(1), 1996, pp. 164-175
Citations number
15
Categorie Soggetti
Statistic & Probability","Statistic & Probability
Journal title
Journal of Applied Probability → ACNP
ISSN journal
00219002
Volume
33
Issue
1
Year of publication
1996
Pages
164 - 175
Database
ISI
SICI code
0021-9002(1996)33:1<164:FPTDOA>2.0.ZU;2-O
Abstract
We solve the Fokker-Planck equation for the Wiener process with drift in the presence of elastic boundaries and a fixed start point. An expl icit expression is obtained for the first passage density. The cases w ith pure absorbing and/or reflecting barriers arise for a special choi ce of a parameter constellation. These special eases are compared with results in Darling and Siegert [5] and Sweet and Hardin [15].