Some boundary-crossing results for linear diffusion processes

Changsun Choi and Dougu Nam

Statistics & Probability Letters, 2003, vol. 62, issue 3, 281-291

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

Keywords: First; passage; time; Stochastic; integral; Time; change; Ornstein-Uhlenbeck; process; Brownian; bridge; Last; exit; time (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (3)

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