First-Passage Problems for One-Dimensional Diffusions with Random Jumps from a Boundary

DOI10.1080/07362994.2011.532037zbMath1213.60128OpenAlexW2082471566MaRDI QIDQ3081442

Mario Abundo

Publication date: 8 March 2011

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

Full work available at URL: https://doi.org/10.1080/07362994.2011.532037

zbMATH Keywords

first passage timerandom jumpscalar diffusion

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Diffusion processes and stochastic analysis on manifolds (58J65)

Related Items (4)

A note on the first passage time of diffusions with holding and jumping boundary ⋮ A stochastic model of cancer growth subject to an intermittent treatment with combined effects: reduction in tumor size and rise in growth rate ⋮ A randomized first-passage problem for drifted Brownian motion subject to hold and jump from a boundary ⋮ Solving an Inverse First-Passage-Time Problem for Wiener Process Subject to Random Jumps from a Boundary

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• On a class of mathematical ecosystems with random jumps
• Ergodic behavior of diffusions with random jumps from the boundary
• On the M/M/1 queue with catastrophes and its continuous approximation
• Limit at Zero of the First-Passage Time Density and the Inverse Problem for One-Dimensional Diffusions
• Biased movement at a boundary and conditional occupancy times for diffusion processes
• The First Passage Problem for a Continuous Markov Process

This page was built for publication: First-Passage Problems for One-Dimensional Diffusions with Random Jumps from a Boundary