One-Dimensional Reflected Diffusions with Two Boundaries and an Inverse First-Hitting Problem

DOI10.1080/07362994.2014.959595zbMath1305.60071arXiv1405.5333OpenAlexW2078900272MaRDI QIDQ2937462

Mario Abundo

Publication date: 9 January 2015

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1405.5333

zbMATH Keywords

time-homogeneous diffusioninverse first-hitting problem

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Stochastic integrals (60H05)

Related Items (6)

On some properties of reflected skew Brownian motions and applications to dispersion in heterogeneous media ⋮ Generating random variates from PDF of Gauss-Markov processes with a reflecting boundary ⋮ Simulation of sample paths for Gauss-Markov processes in the presence of a reflecting boundary ⋮ Asymptotics of two-boundary first-exit-time densities for Gauss-Markov processes ⋮ A randomized first-passage problem for drifted Brownian motion subject to hold and jump from a boundary ⋮ An inverse problem for the first-passage place of some diffusion processes with random starting point

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