Some boundary-crossing results for linear diffusion processes.

DOI10.1016/S0167-7152(03)00015-4zbMath1116.60345MaRDI QIDQ1423243

Dougu Nam, Changsun Choi

Publication date: 14 February 2004

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

Brownian bridgeOrnstein-Uhlenbeck processStochastic integralTime changeFirst passage timeLast exit time

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic integrals (60H05)

Related Items (1)

On the densities of certain bounded diffusion processes

Cites Work

• Unnamed Item
• On the first hitting time and the last exit time for a Brownian motion to/from a moving boundary
• First-passage-time density and moments of the ornstein-uhlenbeck process
• The final size of a nearly critical epidemic, and the first passage time of a Wiener process to a parabolic barrier
• Optimal estimation of diffusion processes hidden by general obstacles
• The minimum of a stationary Markov process superimposed on a U-shaped trend
• Heuristic Approach to the Kolmogorov-Smirnov Theorems

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