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First passage time distribution of a Wiener process with drift concerning two elastic barriers

Published online by Cambridge University Press:  14 July 2016

Marco Dominé*
Affiliation:
University of Magdeburg
*
Postal address: Department of Mathematical Stochastics, Otto-von-Guericke-University of Magdeburg, PSF 4120, 39016 Magdeburg, Germany.

Abstract

We solve the Fokker-Planck equation for the Wiener process with drift in the presence of elastic boundaries and a fixed start point. An explicit expression is obtained for the first passage density. The cases with pure absorbing and/or reflecting barriers arise for a special choice of a parameter constellation. These special cases are compared with results in Darling and Siegert [5] and Sweet and Hardin [15].

Type
Research Papers
Copyright
Copyright © Applied Probability Trust 1996 

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