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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Work partially supported by Deutsche Forschungsgemeinschaft, Sonderforschungsbereich 123 (Project B2)
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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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DOI: https://doi.org/10.1007/BF00319295
Keywords
- Stochastic Process
- Asymptotic Behaviour
- Probability Theory
- Statistical Theory
- Exponential Distribution