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Diffusion first passage times: Approximations and related differential equations

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  • Wenocur, Michael L.

Abstract

A finite spectral expansion is presented for the distribution of first passage to a fixed level, by a diffusion process with reflecting lower boundary. The n-term expansion derived here matches the first n moments of the passage time distribution. We derive also an interesting representation for the moment generating function of the first passage distribution.

Suggested Citation

  • Wenocur, Michael L., 1987. "Diffusion first passage times: Approximations and related differential equations," Stochastic Processes and their Applications, Elsevier, vol. 27, pages 159-177.
    • Handle: RePEc:eee:spapps:v:27:y:1987:i::p:159-177
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    Cited by:

    1. Sergio Ortobelli Lozza & Enrico Angelelli & Alda Ndoci, 2019. "Timing portfolio strategies with exponential Lévy processes," Computational Management Science, Springer, vol. 16(1), pages 97-127, February.

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