On the method of images and the asymptotic behavior of first-passage times

Paul Zipkin ()
Additional contact information
Paul Zipkin: Duke University

Annals of Operations Research, 2016, vol. 241, issue 1, No 10, 224 pages

Abstract: Abstract This paper studies the large-t behavior of the boundary generated by the method of images for the first-passage-time problem. We show that this behavior is characterized by certain properties of the Laplace transform of the input measure. Such properties also determine the asymptotic behavior of the first-passage-time density. Most of the paper assumes a positive input measure, which generates a concave boundary. The last section, however, discusses a non-positive measure. We obtain a sufficient condition for the boundary to be convex.

Keywords: First-passage times; Method of images (search for similar items in EconPapers)
Date: 2016
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s10479-012-1295-y Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:annopr:v:241:y:2016:i:1:d:10.1007_s10479-012-1295-y

Ordering information: This journal article can be ordered from
http://www.springer.com/journal/10479

DOI: 10.1007/s10479-012-1295-y

Access Statistics for this article

Annals of Operations Research is currently edited by Endre Boros

More articles in Annals of Operations Research from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().