PlumX Metrics
Embed PlumX Metrics

SOME REMARKS ON THE RAYLEIGH PROCESS.

Journal of Applied Probability, ISSN: 0021-9002, Vol: 23, Issue: 2, Page: 398-408
1986
  • 40
    Citations
  • 0
    Usage
  • 2
    Captures
  • 0
    Mentions
  • 0
    Social Media
Metric Options:   Counts1 Year3 Year

Metrics Details

Article Description

The transition p. d. f. for a one-dimensional Rayleigh process in the presence of an absorption condition or a zero-flux condition in the origin is obtained in closed form. The first-passage-time problem through an arbitrary constant boundary is then considered and the moment-generating function is determined. In some particular cases the first-passage-time p. d. f. is explicitly derived. Use of some of these results is finally made to obtain the transition p. d. f. of the affine drift-linear infinitesimal-variance diffusion process when the origin is an entrance or a regular boundary in the presence of a reflection condition.

Provide Feedback

Have ideas for a new metric? Would you like to see something else here?Let us know