Diffusion first passage times: Approximations and related differential equations
One considers a real-valued diffusion process with a reflecting boundary at 0 and studies the distribution of the first passage time \(\tau_ r\) at some level \(r>0\). This problem can be reduced to the determination of the solution of a partial differential equation, and the aim of this work is to provide some approximations of this solution. This purpose is achieved by some spectral methods; an expansion is derived and the rate of convergence is estimated.
diffusion process with a reflecting boundary
scientific article; zbMATH DE number 4038969
scientific article