TRANSFORMATION ON DIFFUSION PROCESSES AND FIRST PASSAGE TIME TO THE MOVING BOUNDARIES

Salih ÇELEBIOĞLU; Tahir KHANIYEV; Cihan AKSOP; Salih ÇELEBİOĞLU; Tahir KHANİYEV

Article Details

TRANSFORMATION ON DIFFUSION PROCESSES AND FIRST PASSAGE TIME TO THE MOVING BOUNDARIES

Authors:

Salih ÇELEBIOĞLU | Tahir KHANIYEV | Cihan AKSOP | Salih ÇELEBİOĞLU | Tahir KHANİYEV

Publisher:

Gazi University

Journal:

Gazi University Journal of Science 2013 Vol.26 Issue 1, pp.57-62

Document Type:

Article

Publication Date:

3/2013

Document Language:

English

Document ID (Org No.):

2000429239

eISSN:

2147-1762

Abstract:

 

 

In this paper, we study the first passage time of a diffusion process to a moving boundary. Under some special conditions we apply a transformation to diffusion process and to the boundary function and then in each case obtain the first passage time distribution of the original process by the first passage time distribution of transformed process to transformed boundary. In addition, by applying these transformations to the Ornstein- Uhlenbeck and Wiener processes the first passage time distributions for the new boundaries are presented as examples.

 Keywords: Diffusion process; Ornstein-Uhlenbeck process; First passage times; Moving boundaries; Lambert function; Hyperbolic function; Fixed boundaries

.

Article Details

TRANSFORMATION ON DIFFUSION PROCESSES AND FIRST PASSAGE TIME TO THE MOVING BOUNDARIES

Authors: Salih ÇELEBIOĞLU | Tahir KHANIYEV | Cihan AKSOP | Salih ÇELEBİOĞLU | Tahir KHANİYEV

Publisher: Gazi University

Journal: Gazi University Journal of Science 2013 Vol.26 Issue 1, pp.57-62

Document Type: Article

Publication Date: 3/2013

Document Language: English

Document ID (Org No.): 2000429239

eISSN: 2147-1762

Issues

Authors:

Salih ÇELEBIOĞLU | Tahir KHANIYEV | Cihan AKSOP | Salih ÇELEBİOĞLU | Tahir KHANİYEV

Publisher:

Gazi University

Journal:

Gazi University Journal of Science 2013 Vol.26 Issue 1, pp.57-62

Document Type:

Article

Publication Date:

3/2013

Document Language:

English

Document ID (Org No.):

2000429239

eISSN:

2147-1762