Year-end Sale % OFF 
Abstract
LetY(t) be a one-dimensional diffusion process anddX(t)=Y(t)dt. The process (X(t), Y(t)) is considered in the second quadrant. First, the probability that (X(t), Y(t)) will hit thex-axis before they-axis is computed explicitly whenY(t) is a standard Brownian motion or a particular case of the Bessel process. Next, an exact expression is obtained for the average time it takes (X(t), Y(t)) to exit the regionC={(x, y) ∈ ℝ2 :x < 0,0 <d 1 <y <d 2 whenY(t) is a standard Brownian motion. The solution is expressed as a generalized Fourier series.
Published Version
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
