A note on the first passage time of diffusions with holding and jumping boundary

Jun Peng

Statistics & Probability Letters, 2014, vol. 93, issue C, 58-64

Abstract: In this note we are concerned with the first passage time (FPT) of diffusions with holding and jumping boundary (DHJ) in one dimensional case. We first show that the Laplace transform of FPT of DHJ can be represented explicitly by the behavior of the killed process for one holding and jumping point. The results are then extended to the Laplace transform of FPT of DHJ with two end points. Finally, we demonstrate how the results are applied to a Wiener-type neuronal model in the presence of exponential refractoriness.

Keywords: Diffusions; Holding and jumping boundary; First passage time; Neuron model (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1016/j.spl.2014.06.012

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