HITTING LINES and CIRCLES WITH DIFFUSION PROCESSES |
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| Authors: | Mario Lefebvre Richard Labib |
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| Institution: | Département de mathématiques et de génie industriel, Casier Postal 6079, Succursale Centre-ville, Montréal, Québec, Canada H3C 3A7. |
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| Abstract: | For (x(t),y(t)), a diffusion process starting from (x(0),y(0)) = (x,y), the problem of computing the moment generating function of the first passage time T(x, y) to a given subset D of IR2is considered. A particular case of the method of similarity solutions is used. The problems that can be solved explicitly are those for which D is either a straight line or a circle. |
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| Keywords: | Hitting time Kolmogorov equation similarity solutions |
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