On the asymptotic behaviour of first passage times for diffusions

Keller G, Kersting G, Rösler U (1988)

Publication Type: Journal article, Original article

Publication year: 1988

Journal

Probability Theory and Related Fields Springer Verlag (Germany)

Publisher: Springer Verlag (Germany)

Book Volume: 77

Pages Range: 379--395

Journal Issue: 3

DOI: 10.1007/BF00319295

Abstract

We investigate the asymptotic behaviour of first passage times of diffusions or birth-death processes. Necessary and sufficient conditions in terms of moments and the speed and scale functions are given for convergence of the first passage times to a normal or an exponential distribution.

Authors with CRIS profile

Gerhard Keller Professur für Angewandte Mathematik (Angewandte Analysis)

Involved external institutions

Goethe-Universität Frankfurt am Main DE Germany (DE) Christian-Albrechts-Universität zu Kiel DE Germany (DE)

How to cite

APA:

Keller, G., Kersting, G., & Rösler, U. (1988). On the asymptotic behaviour of first passage times for diffusions. Probability Theory and Related Fields, 77(3), 379--395. https://doi.org/10.1007/BF00319295

MLA:

Keller, Gerhard, Götz Kersting, and Uwe Rösler. "On the asymptotic behaviour of first passage times for diffusions." Probability Theory and Related Fields 77.3 (1988): 379--395.

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