scholarly journals Simulation of First-Passage Times for Alternating Brownian Motions

2005 ◽  
Vol 7 (2) ◽  
pp. 161-181 ◽  
Author(s):  
A. Di Crescenzo ◽  
E. Di Nardo ◽  
L. M. Ricciardi
Keyword(s):  
First Passage Times ◽  
First Passage ◽  
Brownian Motions ◽  
Passage Times

First Passage Times of Constant-Elasticity-of-Variance Processes with Two-Sided Reflecting Barriers

2012 ◽  
Vol 49 (04) ◽  
pp. 1119-1133
Author(s):  
Lijun Bo ◽  
Chen Hao
Keyword(s):  
Laplace Transforms ◽  
First Passage Times ◽  
Square Root ◽  
First Passage ◽  
Brownian Motions ◽  
Constant Elasticity ◽  
Constant Elasticity Of Variance ◽  
Geometric Brownian Motions ◽  
Reflecting Barriers ◽  
Passage Times

In this paper we explore the first passage times of constant-elasticity-of-variance (CEV) processes with two-sided reflecting barriers. The explicit Laplace transforms of the first passage times are derived. Our results can include analytic formulae concerning Laplace transforms of first passage times of reflected Ornstein–Uhlenbeck processes, reflected geometric Brownian motions, and reflected square-root processes.

scholarly journals First Passage Times of Constant-Elasticity-of-Variance Processes with Two-Sided Reflecting Barriers

2012 ◽  
Vol 49 (4) ◽  
pp. 1119-1133 ◽  
Author(s):  
Lijun Bo ◽  
Chen Hao
Keyword(s):  
Laplace Transforms ◽  
First Passage Times ◽  
Square Root ◽  
First Passage ◽  
Brownian Motions ◽  
Constant Elasticity ◽  
Constant Elasticity Of Variance ◽  
Geometric Brownian Motions ◽  
Reflecting Barriers ◽  
Passage Times

In this paper we explore the first passage times of constant-elasticity-of-variance (CEV) processes with two-sided reflecting barriers. The explicit Laplace transforms of the first passage times are derived. Our results can include analytic formulae concerning Laplace transforms of first passage times of reflected Ornstein–Uhlenbeck processes, reflected geometric Brownian motions, and reflected square-root processes.

scholarly journals First passage times for subordinate Brownian motions

2013 ◽  
Vol 123 (5) ◽  
pp. 1820-1850 ◽  
Author(s):  
Mateusz Kwaśnicki ◽  
Jacek Małecki ◽  
Michał Ryznar
Keyword(s):  
First Passage Times ◽  
First Passage ◽  
Brownian Motions ◽  
Passage Times

Inequalities for Means of Restricted First-Passage Times in Percolation Theory

1999 ◽  
Vol 8 (4) ◽  
pp. 307-315 ◽  
Author(s):  
SVEN ERICK ALM ◽  
JOHN C. WIERMAN
Keyword(s):  
Half Space ◽  
Percolation Theory ◽  
First Passage Times ◽  
First Passage ◽  
Geometric Argument ◽  
Convexity And Concavity ◽  
Passage Times

A simple geometric argument establishes an inequality between the sums of two pairs of first-passage times. This result is used to prove monotonicity, convexity and concavity results for first-passage times with cylinder and half-space restrictions.

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