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Boundary-Crossing Identities for Diffusions Having the

✍ Scribed by L. Alili; P. Patie


Publisher
Springer US
Year
2009
Tongue
English
Weight
511 KB
Volume
23
Category
Article
ISSN
0894-9840

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Some boundary-crossing results for linea
✍ Changsun Choi; Dougu Nam πŸ“‚ Article πŸ“… 2003 πŸ› Elsevier Science 🌐 English βš– 228 KB

We evaluate some boundary-crossing time density functions for time-changed Brownian motion. As examples, we evaluate the ΓΏrst passage time densities of Ornstein-Uhlenbeck process to exponential boundaries and Brownian bridge to two linearly shrinking boundaries. We also evaluate explicitly the ΓΏrst