Analysis of reflected diffusions via an exponential time-based transformation

DOI10.1007/s10955-016-1525-9zbMath1346.82024OpenAlexW2343460469WikidataQ63434404 ScholiaQ63434404MaRDI QIDQ310026

Virginia Giorno, Amelia G. Nobile, Antonio Di Crescenzo

Publication date: 7 September 2016

Published in: Journal of Statistical Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10955-016-1525-9

zbMATH Keywords

Wiener processBessel processOrnstein-Uhlenbeck processfirst passage timeconditional densityRayleigh process

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)

Related Items (8)

Applications of the multi-sigmoidal deterministic and stochastic logistic models for plant dynamics ⋮ Generating random variates from PDF of Gauss-Markov processes with a reflecting boundary ⋮ On short-term loan interest rate models: a first passage time approach ⋮ On a time-inhomogeneous diffusion process with discontinuous drift ⋮ A time-non-homogeneous double-ended queue with failures and repairs and its continuous approximation ⋮ Simulation of sample paths for Gauss-Markov processes in the presence of a reflecting boundary ⋮ First-passage times and related moments for continuous-time birth-death chains ⋮ On the construction of a special class of time-inhomogeneous diffusion processes

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• On the reflected Ornstein-Uhlenbeck process with catastrophes
• A transformation approach to modelling multi-modal diffusions
• A fast algorithm for the first-passage times of Gauss-Markov processes with Hölder continuous boundaries
• First passage time statistics of Brownian motion with purely time dependent drift and diffusion
• A general solution of the Fokker-Planck equation
• Constructing transient birth-death processes by means of suitable transformations
• On the transformation of diffusion equations and boundaries into the Kolmogorov equation for the Wiener process
• Stochastic orders
• On the transformation of diffusion processes into the Feller process
• On the transformation of diffusion processes into the Wiener process
• Properties of the reflected Ornstein-Uhlenbeck process
• Nonlocal transformations of Kolmogorov equations into the backward heat equation
• A Monte Carlo method for the simulation of first passage times of diffusion processes
• Langevin equation with multiplicative white noise: transformation of diffusion processes into the Wiener process in different prescriptions
• On the M/M/1 queue with catastrophes and its continuous approximation
• Exact solution for the diffusion in bistable potentials
• A double-ended queue with catastrophes and repairs, and a jump-diffusion approximation
• A note on the moments of the first-passage time of the Ornstein-Uhlenbeck process with a reflecting boundary
• Restricted Ornstein-Uhlenbeck process and applications in neuronal models with periodic input signals
• Transformations of diffusions with jumps
• A result on the first-passage time of an Ornstein-Uhlenbeck process
• A diffusion approximation for a GI/GI/1 queue with balking or reneging
• The parabolic differential equations and the associated semigroups of transformation
• On the probability densities of an Ornstein–Uhlenbeck process with a reflecting boundary
• Diffusion with optimal resetting
• Some remarks on the Rayleigh process
• On the Transformation of Diffusion Processes into the Wiener Process
• Gussian diffusions and continuous state branching processes with killing
• On the transition densities for reflected diffusions
• Diffusion Processes in One Dimension
• Handbook of stochastic methods for physics, chemistry and the natural sciences.

This page was built for publication: Analysis of reflected diffusions via an exponential time-based transformation