| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1153292 | Statistics & Probability Letters | 2008 | 8 Pages |
Abstract
We consider a one-dimensional time-homogeneous regular diffusion between two constant elastic barriers as well as the special cases with pure absorbing and/or reflecting barriers. We derive the recurrence relations for moments of the first passage time. As examples, we consider several popular diffusions. Finally, some applications to risk theory are considered.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Huiqing Wang, Chuancun Yin,