First-passage-time densities for time-non-homogeneous diffusion processes

Journal of Applied Probability

Volumn 34, Issue 3, 1997, Pages 623-631

  Gutierrez R ^a   Ricciardi, L M ^b   Roman P ^a   Torres, F ^a  

^a UNIVERSITY OF GRANADA   (Spain)

^b UNIVERSITY OF NAPLES FEDERICO II   (Italy)

Author keywords

Exogenous factors; Lognormal diffusion process; Varying boundaries; Volterra integral equations

Indexed keywords

BOUNDARY CONDITIONS; INTEGRAL EQUATIONS;

EXOGENOUS FACTORS; FIRST PASSAGE TIME DENSITIES; LOGNORMAL DIFFUSION PROCESS; VOLTERRA INTEGRAL EQUATIONS;

PROBABILITY DENSITY FUNCTION;

EID: 0031224597     PISSN: 00219002     EISSN: None     Source Type: Journal    
DOI: 10.1017/S0021900200101299     Document Type: Article

References (9)

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