IDEAS home Printed from https://ideas.repec.org/a/eee/stapro/v93y2014icp58-64.html
   My bibliography  Save this article

A note on the first passage time of diffusions with holding and jumping boundary

Author

Listed:
  • Peng, Jun

Abstract

In this note we are concerned with the first passage time (FPT) of diffusions with holding and jumping boundary (DHJ) in one dimensional case. We first show that the Laplace transform of FPT of DHJ can be represented explicitly by the behavior of the killed process for one holding and jumping point. The results are then extended to the Laplace transform of FPT of DHJ with two end points. Finally, we demonstrate how the results are applied to a Wiener-type neuronal model in the presence of exponential refractoriness.

Suggested Citation

  • Peng, Jun, 2014. "A note on the first passage time of diffusions with holding and jumping boundary," Statistics & Probability Letters, Elsevier, vol. 93(C), pages 58-64.
    • Handle: RePEc:eee:stapro:v:93:y:2014:i:c:p:58-64
    DOI: 10.1016/j.spl.2014.06.012
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167715214002144
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.spl.2014.06.012?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Ben-Ari, Iddo & Pinsky, Ross G., 2009. "Ergodic behavior of diffusions with random jumps from the boundary," Stochastic Processes and their Applications, Elsevier, vol. 119(3), pages 864-881, March.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Pinsky, Ross G., 2020. "Diffusive search with spatially dependent resetting," Stochastic Processes and their Applications, Elsevier, vol. 130(5), pages 2954-2973.
    2. Jiatu Cai & Mathieu Rosenbaum & Peter Tankov, 2015. "Asymptotic Lower Bounds for Optimal Tracking: a Linear Programming Approach," Papers 1510.04295, arXiv.org.
    3. Kumar Muthuraman & Sridhar Seshadri & Qi Wu, 2015. "Inventory Management with Stochastic Lead Times," Mathematics of Operations Research, INFORMS, vol. 40(2), pages 302-327, February.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:93:y:2014:i:c:p:58-64. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.