Moments of the first passage time of one-dimensional diffusion with two-sided barriers

Huiqing Wang and Chuancun Yin

Statistics & Probability Letters, 2008, vol. 78, issue 18, 3373-3380

Abstract: We consider a one-dimensional time-homogeneous regular diffusion between two constant elastic barriers as well as the special cases with pure absorbing and/or reflecting barriers. We derive the recurrence relations for moments of the first passage time. As examples, we consider several popular diffusions. Finally, some applications to risk theory are considered.

Date: 2008
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