Some boundary-crossing results for linear diffusion processes
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Choi, Changsun | ko |
| dc.contributor.author | Nam, DG | ko |
| dc.date.accessioned | 2013-03-03T22:00:31Z | - |
| dc.date.available | 2013-03-03T22:00:31Z | - |
| dc.date.created | 2012-02-06 | - |
| dc.date.created | 2012-02-06 | - |
| dc.date.issued | 2003-04 | - |
| dc.identifier.citation | STATISTICS & PROBABILITY LETTERS, v.62, pp.281 - 291 | - |
| dc.identifier.issn | 0167-7152 | - |
| dc.identifier.uri | http://hdl.handle.net/10203/80633 | - |
| dc.description.abstract | We evaluate some boundary-crossing time density functions for time-changed Brownian motion. As examples, we evaluate the first passage time densities of Ornstein-Uhlenbeck process to exponential boundaries and Brownian bridge to two linearly shrinking boundaries. We also evaluate explicitly the first and last passage time distributions of Brownian motion for two linear boundaries. (C) 2003 Elsevier Science B.V. All rights reserved. | - |
| dc.language | English | - |
| dc.publisher | ELSEVIER SCIENCE BV | - |
| dc.title | Some boundary-crossing results for linear diffusion processes | - |
| dc.type | Article | - |
| dc.identifier.wosid | 000182152200008 | - |
| dc.type.rims | ART | - |
| dc.citation.volume | 62 | - |
| dc.citation.beginningpage | 281 | - |
| dc.citation.endingpage | 291 | - |
| dc.citation.publicationname | STATISTICS & PROBABILITY LETTERS | - |
| dc.identifier.doi | 10.1016/S0167-7152(03)00015-4 | - |
| dc.contributor.nonIdAuthor | Nam, DG | - |
| dc.type.journalArticle | Article | - |
| dc.subject.keywordAuthor | first passage time | - |
| dc.subject.keywordAuthor | stochastic integral | - |
| dc.subject.keywordAuthor | time change | - |
| dc.subject.keywordAuthor | Ornstein-Uhlenbeck process | - |
| dc.subject.keywordAuthor | Brownian bridge | - |
| dc.subject.keywordAuthor | last exit time | - |
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