On the first-passage time of integrated Brownian motion

DOI10.1155/JAMSA.2005.237zbMath1102.60069MaRDI QIDQ2498179

Christian H. Hesse

Publication date: 28 August 2006

Published in: Journal of Applied Mathematics and Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/52920

zbMATH Keywords

stopping timelocal martingaleconditional momentintegrated Brownian motionFirst-passage timeKolmogorov diffusiondominant balanceintegrated Markov process

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60)

Related Items (2)

A first-passage-place problem for integrated diffusion processes ⋮ Random acceleration process on finite intervals under stochastic restarting

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