On the First Passage Time of Diffusion Processes Through Time-Dependent Boundaries
V. A. Lebedev · Theory of Probability and Its Applications · 1971
Previous article Next article On the First Passage Time of Diffusion Processes Through Time-Dependent BoundariesV. A. LebedevV. A. Lebedevhttps://doi.org/10.1137/1116059PDFBibTexSections ToolsAdd to favoritesExport CitationTrack CitationsEmail SectionsAbout[1] I. I. Gikhman and , A. V. Skorokhod, Stochastic Differential Equations, Izd-vo “Naukova dumka”, Kiev, 1968, (In Russian.) Google Scholar[2] R. Z. Khas'minskii, Stability of Systems of Differential Equations Involving Randomly Perturbed Parameters, Izd-vo “Nauka”, Moscow, 1969, (In Russian.) Google Scholar[3] L. A. Shepp, A first passage problem for the Wiener process, Ann. Math. Statist., 38 (1967), 1912–1914 MR0217879 0178.19402 CrossrefGoogle Scholar Previous article Next article FiguresRelatedReferencesCited ByDetails The Skorokhod embedding problem and its offspringProbability Surveys, Vol. 1, No. none | 1 Jan 2004 Cross Ref Volume 16, Issue 3| 1971Theory of Probability & Its Applications History Submitted:20 May 1969Published online:17 July 2006 InformationCopyright © Society for Industrial and Applied MathematicsPDF Download Article & Publication DataArticle DOI:10.1137/1116059Article page range:pp. 541-545ISSN (print):0040-585XISSN (online):1095-7219Publisher:Society for Industrial and Applied Mathematics