Some Remarks on First-Passage-Time Problems

L. Sacerdote
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L. Sacerdote: Università di Torino, Dipartimento di Matematica

A chapter in Biomathematics and Related Computational Problems, 1988, pp 567-579 from Springer

Abstract: Abstract To account for nonstationary effects, diffusion approximations have been proposed in various applicative contexts in which time-varying drift, infinitesimal variance and boundaries appear. First-passage-time, for nonhomogeneous processes have then to be considered. Here various types of recursive equations for the moments of first-passage time are proposed as a generalization of the well known recursive relations holding for the time-homogeneous case.

Date: 1988
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DOI: 10.1007/978-94-009-2975-3_51

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