On the asymptotic behaviour of first passage times for diffusions

DOI10.1007/BF00319295zbMath0621.60079OpenAlexW1971895477MaRDI QIDQ1090005

Gerhard Keller, Uwe Roesler, Götz-Dietrich Kersting

Publication date: 1988

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf00319295

zbMATH Keywords

birth-death processesasymptotic behaviour of first passage times for diffusions

Mathematics Subject Classification ID

Diffusion processes (60J60) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80)

Related Items (3)

Limit theorems for hitting times of 1-dimensional generalized diffusions ⋮ Deterministic in contrast to stochastic modeling ⋮ Limit theorems for transient diffusions on the line

Cites Work

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• The birth and death processes as diffusion processes
• Coincidence properties of birth and death processes
• Extensions of Trotter's operator semigroup approximation theorems
• Limit theorems for random walks, birth and death processes, and diffusion processes
• Eigenvalue expansions for diffusion hitting times
• On the asymptotic behaviour of solutions of stochastic differential equations
• Limit theorems for Markov processes via a variant of the Trotter-Kato theorem
• Log-concavity and log-convexity in passage time densities of diffusion and birth-death processes

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