A first passage problem for three-dimensional diffusion processes

Mario Lefebvre

Published

1999-07-01

A first passage problem for three-dimensional diffusion processes

Keywords:

Brownian motion, similarity solutions, integrated processes (es)

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Authors

Mario Lefebvre École Poly technique de Montréal

Abstract (es)

Let d(t) = [Φ(y(t)) + Ψ(z(t))]dt, where y(t) and z(t) are independent diffusion process. The problem of computing the moment generating function and the moments of[T(y, z)], where T(y, z) is a first passage time for (y(t), z(t)), is considered and solved explicitly in particular instances.

How to Cite

APA

Lefebvre, M. (1999). A first passage problem for three-dimensional diffusion processes. Revista Colombiana de Matemáticas, 33(2), 105–116. https://revistas.unal.edu.co/index.php/recolma/article/view/33752

ACM

[1]

Lefebvre, M. 1999. A first passage problem for three-dimensional diffusion processes. Revista Colombiana de Matemáticas. 33, 2 (Jul. 1999), 105–116.

ACS

(1)

Lefebvre, M. A first passage problem for three-dimensional diffusion processes. rev.colomb.mat 1999, 33, 105-116.

ABNT

LEFEBVRE, M. A first passage problem for three-dimensional diffusion processes. Revista Colombiana de Matemáticas, [S. l.], v. 33, n. 2, p. 105–116, 1999. Disponível em: https://revistas.unal.edu.co/index.php/recolma/article/view/33752. Acesso em: 22 jan. 2025.

Chicago

Lefebvre, Mario. 1999. “A first passage problem for three-dimensional diffusion processes”. Revista Colombiana De Matemáticas 33 (2):105-16. https://revistas.unal.edu.co/index.php/recolma/article/view/33752.

Harvard

Lefebvre, M. (1999) “A first passage problem for three-dimensional diffusion processes”, Revista Colombiana de Matemáticas, 33(2), pp. 105–116. Available at: https://revistas.unal.edu.co/index.php/recolma/article/view/33752 (Accessed: 22 January 2025).

IEEE

[1]

M. Lefebvre, “A first passage problem for three-dimensional diffusion processes”, rev.colomb.mat, vol. 33, no. 2, pp. 105–116, Jul. 1999.

MLA

Lefebvre, M. “A first passage problem for three-dimensional diffusion processes”. Revista Colombiana de Matemáticas, vol. 33, no. 2, July 1999, pp. 105-16, https://revistas.unal.edu.co/index.php/recolma/article/view/33752.

Turabian

Lefebvre, Mario. “A first passage problem for three-dimensional diffusion processes”. Revista Colombiana de Matemáticas 33, no. 2 (July 1, 1999): 105–116. Accessed January 22, 2025. https://revistas.unal.edu.co/index.php/recolma/article/view/33752.

Vancouver

1.

Lefebvre M. A first passage problem for three-dimensional diffusion processes. rev.colomb.mat [Internet]. 1999 Jul. 1 [cited 2025 Jan. 22];33(2):105-16. Available from: https://revistas.unal.edu.co/index.php/recolma/article/view/33752