Title of article
Transformation on Diffusion Processes and First Passage Time to The Moving Boundaries
Author/Authors
AKSOP, Cihan Scientific and Technological Research Council of Turkey - Department of Science and Society, Turkey , ÇELEBIOĞLU, Salih Gazi Üniversitesi - Department of Statistics, Turkey , KHANIYEV, Tahir TOBB University of Economics and Technology - Department of Industrial Engineering, Turkey
From page
57
To page
62
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.
Keywords
Diffusion process , Ornstein , Uhlenbeck process , First passage times , Moving boundaries , Lambert function , Hyperbolic function , Fixed boundaries
Journal title
Gazi University Journal Of Science
Journal title
Gazi University Journal Of Science
Record number
2600658
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