QUALITATIVE BEHAVIOUR OF THE FIRST-PASSAGE-TIME DENSITY OF A ONE-DIMENSIONAL DIFFUSION OVER A MOVING BOUNDARY
2006 年 64 巻 2 号 p. 199-216
詳細
2006 年 64 巻 2 号 p. 199-216
We deal with the qualitative behaviour of the first-passage-time density of a one-dimensional diffusion process X(t) over a moving boundary; in particular, we study the value that the first-passage time density takes at zero, the distribution of the maximum process, and the distribution of the first instant at which X(t) attains the maximum in an interval [0,T]. Our results generalize the analogous ones already known for Brownian motion. Some examples are reported.
