On first-crossing times of one-dimensional diffusions over two time-dependent boundaries

被引：9
|
作者：
Abundo, M [1 ]
机构：
[1] Univ Roma Tor Vergata, Dipartimento Matemat, I-00133 Rome, Italy
来源：
STOCHASTIC ANALYSIS AND APPLICATIONS | 2000年 / 18卷 / 02期
关键词：
D O I：
10.1080/07362990008809663
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
Some problems of first-crossing times over two time-dependent boundaries for one-dimensional diffusion processes are considered. The moments of the first-crossing times over each boundary are shown to be the solutions of certain partial differential equations with suitable boundary conditions. For some examples where the boundaries are constant, the results are illustrated graphically.
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页码：179 / 200
页数：22
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