Diffusion first passage times: Approximations and related differential equations

Michael L. Wenocur

Stochastic Processes and their Applications, 1987, vol. 27, 159-177

Abstract: A finite spectral expansion is presented for the distribution of first passage to a fixed level, by a diffusion process with reflecting lower boundary. The n-term expansion derived here matches the first n moments of the passage time distribution. We derive also an interesting representation for the moment generating function of the first passage distribution.

Keywords: diffusion; first; passage; time; failure; time; spectral; expansion (search for similar items in EconPapers)
Date: 1987
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