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Moments of the first passage time of one-dimensional diffusion with two-sided barriers

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  • Wang, Huiqing
  • Yin, Chuancun

Abstract

We consider a one-dimensional time-homogeneous regular diffusion between two constant elastic barriers as well as the special cases with pure absorbing and/or reflecting barriers. We derive the recurrence relations for moments of the first passage time. As examples, we consider several popular diffusions. Finally, some applications to risk theory are considered.

Suggested Citation

  • Wang, Huiqing & Yin, Chuancun, 2008. "Moments of the first passage time of one-dimensional diffusion with two-sided barriers," Statistics & Probability Letters, Elsevier, vol. 78(18), pages 3373-3380, December.
    • Handle: RePEc:eee:stapro:v:78:y:2008:i:18:p:3373-3380
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    References listed on IDEAS

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    1. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
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    4. Saphores, Jean-Daniel M., 2005. "The density of bounded diffusions," Economics Letters, Elsevier, vol. 86(1), pages 87-93, January.
    5. Hans Gerber & Elias Shiu, 2004. "Optimal Dividends," North American Actuarial Journal, Taylor & Francis Journals, vol. 8(1), pages 1-20.
    6. John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005. "A Theory Of The Term Structure Of Interest Rates," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 5, pages 129-164, World Scientific Publishing Co. Pte. Ltd..
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    Cited by:

    1. Cabral-García, Gabriela de Jesús & Villa-Morales, José, 2024. "Conditional moments of the first-passage time of a crowed population," Applied Mathematics and Computation, Elsevier, vol. 470(C).
    2. Kristoffer Lindensjö & Filip Lindskog, 2020. "Optimal dividends and capital injection under dividend restrictions," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 92(3), pages 461-487, December.

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