Diffusion first passage times: Approximations and related differential equations
type: Item
instance of: scholarly article
title: Diffusion first passage times: Approximations and related differential equations
zbMATH Open document ID: 0637.60093
DOI: 10.1016/0304-4149(87)90036-6
author: Michael L. Wenocur
published in: Stochastic Processes and their Applications
publication date: 1988-01-01T00:00:00Z
review text: 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.
Mathematics Subject Classification ID: 60J60
Mathematics Subject Classification ID: 60F99
Mathematics Subject Classification ID: 60H10
zbMATH DE Number: 4038969
zbMATH Keywords: diffusion process with a reflecting boundary
zbMATH Keywords: first passage time
zbMATH Keywords: spectral methods
zbMATH Keywords: rate of convergence
reviewed by: Jean Picard
MaRDI profile type: Publication
full work available at URL: 0304-4149(87)90036-6
OpenAlex ID: W1997026355
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description: scientific article; zbMATH DE number 4038969