TRANSFORMATION ON DIFFUSION PROCESSES AND FIRST PASSAGE TIME TO THE MOVING BOUNDARIES

Autor:	ÇELEBIOĞLU, Salih, KHANIYEV, Tahir, AKSOP, Cihan, ÇELEBİOĞLU, Salih, KHANİYEV, Tahir
Jazyk:	angličtina
Rok vydání:	2012
Předmět:	Diffusion process Ornstein-Uhlenbeck process First passage times Moving boundaries Lambert function Hyperbolic function Fixed boundaries Mathematics::Probability
Zdroj:	Volume: 26, Issue: 1 57-62 Gazi University Journal of Science
ISSN:	2147-1762
Popis:	In this paper, we study the first passage time of a diffusion process to a moving boundary. Under some special conditions we apply a transformation to diffusion process and to the boundary function and then in each case obtain the first passage time distribution of the original process by the first passage time distribution of transformed process to transformed boundary. In addition, by applying these transformations to the Ornstein- Uhlenbeck and Wiener processes the first passage time distributions for the new boundaries are presented as examples. Keywords: Diffusion process; Ornstein-Uhlenbeck process; First passage times; Moving boundaries; Lambert function; Hyperbolic function; Fixed boundaries
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=tubitakulakb::0925ddd8b4e4d044e7ac4f233dc7b6d3 https://dergipark.org.tr/tr/pub/gujs/issue/7426/97535 Zobrazit plný text záznamu