FIRST-PASSAGE-TIME DENSITIES FOR TIME-NON-HOMOGENEOUS DIFFUSION-PROCESSES

Authors
GUTIERREZ R RICCIARDI LM ROMAN P TORRES F
Citation
R. Gutierrez et al., FIRST-PASSAGE-TIME DENSITIES FOR TIME-NON-HOMOGENEOUS DIFFUSION-PROCESSES, Journal of Applied Probability, 34(3), 1997, pp. 623-631
Citations number
9
Categorie Soggetti
Statistic & Probability","Statistic & Probability
Journal title
Journal of Applied Probability → ACNP
ISSN journal
00219002
Volume
34
Issue
3
Year of publication
1997
Pages
623 - 631
Database
ISI
SICI code
0021-9002(1997)34:3<623:FDFTD>2.0.ZU;2-S
Abstract
In this paper we study a Volterra integral equation of the second kind , including two arbitrary continuous functions, in order to determine first-passage-time probability density functions through time-dependen t boundaries for time-non-homogeneous one-dimensional diffusion proces ses with natural boundaries. These results generalize those which were obtained for time-homogeneous diffusion processes by Giorno er al. [3 ], and for some particular classes of time-non-homogeneous diffusion p rocesses by Gutierrez ct al. [4], [5].