First-passage problems for degenerate two-dimensional diffusion processes

DOI10.1007/BF02595815zbMath1041.60050OpenAlexW2056479858MaRDI QIDQ1423860

Mario Lefebvre

Publication date: 7 March 2004

Published in: Test (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02595815

zbMATH Keywords

Brownian motiondiffusion processSturm-Liouville problemspecial functionshitting timeKolmogorov equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (1)

First passage times of two-dimensional correlated processes: analytical results for the Wiener process and a numerical method for diffusion processes

Cites Work

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