Asymptotics of two-boundary first-exit-time densities for Gauss-Markov processes

DOI10.1007/s11009-018-9617-4zbMath1439.60038OpenAlexW2786900328MaRDI QIDQ2283669

Giuseppe D'Onofrio, Enrica Pirozzi

Publication date: 13 January 2020

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-018-9617-4

zbMATH Keywords

Ornstein-Uhlenbeck processGauss-Markov processesfirst passage time problemtime-dependent boundaries

Mathematics Subject Classification ID

Gaussian processes (60G15) Diffusion processes (60J60) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (4)

First passage times for some classes of fractional time-changed diffusions ⋮ Exact simulation of first exit times for one-dimensional diffusion processes ⋮ On the first-passage times of certain Gaussian processes, and related asymptotics ⋮ First-passage times and related moments for continuous-time birth-death chains

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