Modelling the repairability function by the first passage time distribution of Brownian motion

1980 ◽  
Vol 20 (5) ◽  
pp. 687-691 ◽  
Author(s):  
Y.S Sherif
Keyword(s):  
Brownian Motion ◽  
Time Distribution ◽  
First Passage Time ◽  
Passage Time ◽  
First Passage

scholarly journals First Passage Time of Skew Brownian Motion

2012 ◽  
Vol 49 (3) ◽  
pp. 685-696 ◽  
Author(s):  
Thilanka Appuhamillage ◽  
Daniel Sheldon
Keyword(s):  
Brownian Motion ◽  
Time Distribution ◽  
First Passage Time ◽  
Passage Time ◽  
First Passage ◽  
Skew Brownian Motion

Nearly fifty years after the introduction of skew Brownian motion by Itô and McKean (1963), the first passage time distribution remains unknown. In this paper we first generalize results of Pitman and Yor (2011) and Csáki and Hu (2004) to derive formulae for the distribution of ranked excursion heights of skew Brownian motion, and then use these results to derive the first passage time distribution.

scholarly journals First Passage Time of Skew Brownian Motion

2012 ◽  
Vol 49 (03) ◽  
pp. 685-696 ◽  
Author(s):  
Thilanka Appuhamillage ◽  
Daniel Sheldon
Keyword(s):  
Brownian Motion ◽  
Time Distribution ◽  
First Passage Time ◽  
Passage Time ◽  
First Passage ◽  
Skew Brownian Motion

Nearly fifty years after the introduction of skew Brownian motion by Itô and McKean (1963), the first passage time distribution remains unknown. In this paper we first generalize results of Pitman and Yor (2011) and Csáki and Hu (2004) to derive formulae for the distribution of ranked excursion heights of skew Brownian motion, and then use these results to derive the first passage time distribution.

Sign in / Sign up

Export Citation Format

Share Document