Moments of the first-passage time of a Wiener process with drift between two elastic barriers

DOI10.2307/3215214zbMath0844.60021OpenAlexW2321250305MaRDI QIDQ4866776

Marco Dominé

Publication date: 14 August 1996

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3215214

zbMATH Keywords

absorptionreflection principlefirst-passage timeKolmogorov backward equationelastic boundaries

Mathematics Subject Classification ID

Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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