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On the asymptotic behaviour of first passage times for discussions
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  • Published: March 1988

On the asymptotic behaviour of first passage times for discussions

  • G. Keller1,
  • G. Kersting2 &
  • U. Rösler3 

Probability Theory and Related Fields volume 77, pages 379–395 (1988)Cite this article

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  • 4 Citations

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Summary

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.

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Author information

Authors and Affiliations

  1. Institut für Angewandte Mathematik, Universität Heidelberg, Im Neuenheimer Feld 294, D-6900, Heidelberg, Federal Republic of Germany

    G. Keller

  2. Fachbereich Mathematik, Universität Frankfurt, Robert Mayer-Straße 10, D-6000, Frankfurt, Federal Republic of Germany

    G. Kersting

  3. Institut für Mathematische Stochastik, Universität Göttingen, Lotzestraße 13, D-3400, Göttingen, Federal Republic of Germany

    U. Rösler

Authors
  1. G. Keller
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  2. G. Kersting
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  3. U. Rösler
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Additional information

Work partially supported by Deutsche Forschungsgemeinschaft, Sonderforschungsbereich 123 (Project B2)

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Cite this article

Keller, G., Kersting, G. & Rösler, U. On the asymptotic behaviour of first passage times for discussions. Probab. Th. Rel. Fields 77, 379–395 (1988). https://doi.org/10.1007/BF00319295

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  • Received: 11 January 1987

  • Issue Date: March 1988

  • DOI: https://doi.org/10.1007/BF00319295

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Keywords

  • Stochastic Process
  • Asymptotic Behaviour
  • Probability Theory
  • Statistical Theory
  • Exponential Distribution
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