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Title: Transformation on diffusion processes and first passage time to the moving boundaries
Authors: Aksop, C.
Çelebioğlu S.
Khaniyev, Tahir
Keywords: Diffusion process
First passage times
Fixed boundaries
Hyperbolic function
Lambert function
Moving boundaries
Ornstein-uhlenbeck process
Issue Date: 2013
Publisher: Gazi Universitesi
Abstract: 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.
ISSN: 2147-1762
Appears in Collections:Endüstri Mühendisliği Bölümü / Department of Industrial Engineering
Scopus İndeksli Yayınlar Koleksiyonu / Scopus Indexed Publications Collection
WoS İndeksli Yayınlar Koleksiyonu / WoS Indexed Publications Collection

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