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AN INTEGRAL EQUATION FOR THE DISTRIBUTION OF THE FIRST EXIT TIME OF A REFLECTED BROWNIAN MOTION
Published online by Cambridge University Press: 04 December 2009
Abstract
Reflected Brownian motion is used in areas such as physiology, electrochemistry and nuclear magnetic resonance. We study the first-passage-time problem of this process which is relevant in applications; specifically, we find a Volterra integral equation for the distribution of the first time that a reflected Brownian motion reaches a nondecreasing barrier. Additionally, we note how a numerical procedure can be used to solve the integral equation.
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- Copyright © Australian Mathematical Society 2009
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