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HITTING LINES and CIRCLES WITH DIFFUSION PROCESSES
Author(s) -
Lefebvre Mario,
Labib Richard
Publication year - 1996
Publication title -
australian journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.434
H-Index - 41
eISSN - 1467-842X
pISSN - 0004-9581
DOI - 10.1111/j.1467-842x.1996.tb00677.x
Subject(s) - moment (physics) , diffusion , similarity (geometry) , diffusion process , hitting time , function (biology) , line (geometry) , mathematics , combinatorics , mathematical analysis , physics , computer science , geometry , classical mechanics , thermodynamics , artificial intelligence , knowledge management , innovation diffusion , evolutionary biology , biology , image (mathematics)
Summary 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 IR 2 is 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.