The First Passage Time of Diffusions
The basic statistical properties of the FPT from a point to the boundary of a given domain were investigated in Chapter 4.4 by means of equations derived from Itô’s formula and Kolmogorov’s representation formulas. The PDF of the FPT was discussed in Section 4.4.3, its moments were discussed in Section 4.4.1, and the exit distribution in Section 4.4.2.
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