Applied Mathematics

Volume 4, Issue 5 (May 2013)

ISSN Print: 2152-7385   ISSN Online: 2152-7393

Google-based Impact Factor: 0.96  Citations  

An Evaluation for the Probability Density of the First Hitting Time

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DOI: 10.4236/am.2013.45108    5,955 Downloads   8,687 Views  

ABSTRACT

Let h(t) be a smooth function, Bt a standard Brownian motion and th=inf{t; Bt=h(t)} the first hitting time. In this paper, new formulations are derived to evaluate the probability density of the first hitting time. If u(x, t) denotes the density function of x=Bt for t < th, then uxx=2ut and u(h(t),t)=0. Moreover, the hitting time density dh(t) is 1/2ux(h(t),t). Applying some partial differential equation techniques, we derive a simple integral equation for dh(t). Two examples are demonstrated in this article.

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Shen, S. and Hsiao, Y. (2013) An Evaluation for the Probability Density of the First Hitting Time. Applied Mathematics, 4, 792-796. doi: 10.4236/am.2013.45108.

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