Transformation on Diffusion Processes and First Passage Time to The Moving Boundaries

Aksop C., Çelebioğlu S., Khanıyev T.

Gazi University Journal of Science, cilt.26, sa.1, ss.57-62, 2013 (Scopus)

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 26 Sayı: 1
  • Basım Tarihi: 2013
  • Dergi Adı: Gazi University Journal of Science
  • Derginin Tarandığı İndeksler: Scopus
  • Sayfa Sayıları: ss.57-62
  • Eskişehir Osmangazi Üniversitesi Adresli: Hayır

Özet

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.