On evaluations and asymptotic approximations of first-passage-time probabilities

被引：22

作者：

Sacerdote, L ^{[1
]}

Tomassetti, F ^{[1
]}

机构：

[1] UNIV NAPLES,DIPARTIMENTO MATEMAT & APPLICAZ,I-80126 NAPLES,ITALY

来源：

ADVANCES IN APPLIED PROBABILITY | 1996年 / 28卷 / 01期

关键词：

first-passage-time; diffusion processes; Orstein-Uhlenbeck processes; feller processes;

D O I：

10.2307/1427921

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

The series expansion for the solution of the integral equation for the first-passage-time probability density function, obtained by resorting to the fixed point theorem, is used to achieve approximate evaluations for which error bounds are indicated. A different use of the fixed point theorem is then made to determine lower and upper bounds for asymptotic approximations, and to examine their range of validity.

引用

页码：270 / 284

页数：15

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