Similarity solutions of first-passage problems for two-dimensional Wiener processes (Q1126102)
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scientific article; zbMATH DE number 954935
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Similarity solutions of first-passage problems for two-dimensional Wiener processes |
scientific article; zbMATH DE number 954935 |
Statements
Similarity solutions of first-passage problems for two-dimensional Wiener processes (English)
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8 December 1996
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For a two-dimensional drifted Brownian motion with constant drifts, the generating function \(M(x,y)\) of the time of the process hitting a set \(D\) satisfies a Kolmogorov backward equation. All \(D\)'s are identified for \(M(x,y)\) having the form of \(F(x)G(y)\) or \(N(f(x)+ g(y))\).
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hitting time
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Brownian motion
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Kolmogorov equation
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0.806406557559967
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0.7927364110946655
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