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2 results

First passage time distribution of a Wiener process with drift concerning two elastic barriers
Part of
- Markov processes
- Stochastic processes
Marco Dominé
Journal:

Journal of Applied Probability / Volume 33 / Issue 1 / March 1996

Published online by Cambridge University Press:

14 July 2016, pp. 164-175

Print publication:

March 1996
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We solve the Fokker-Planck equation for the Wiener process with drift in the presence of elastic boundaries and a fixed start point. An explicit expression is obtained for the first passage density. The cases with pure absorbing and/or reflecting barriers arise for a special choice of a parameter constellation. These special cases are compared with results in Darling and Siegert [5] and Sweet and Hardin [15].

Moments of the first-passage time of a Wiener process with drift between two elastic barriers
Part of
- Markov processes
- Stochastic processes
Marco Dominé
Journal:

Journal of Applied Probability / Volume 32 / Issue 4 / December 1995

Published online by Cambridge University Press:

14 July 2016, pp. 1007-1013

Print publication:

December 1995
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The first-passage problem for the one-dimensional Wiener process with drift in the presence of elastic boundaries is considered. We use the Kolmogorov backward equation with corresponding boundary conditions to derive explicit closed-form expressions for the expected value and the variance of the first-passage time. Special cases with pure absorbing and/or reflecting barriers arise for a certain choice of a parameter constellation.

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2 results

First passage time distribution of a Wiener process with drift concerning two elastic barriers

Moments of the first-passage time of a Wiener process with drift between two elastic barriers