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The First Passage Time of Diffusions

  • Zeev Schuss
Chapter
Part of the Applied Mathematical Sciences book series (AMS, volume 170)

Abstract

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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Copyright information

© Springer Science+Business Media, LLC 2010

Authors and Affiliations

  • Zeev Schuss
    • 1
  1. 1.Department of Applied MathematicsSchool of Mathematical Science Tel Aviv UniversityTel AvivIsrael

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