First-passage time of Markov processes to moving barriers
From MaRDI portal
Publication:3344948
DOI10.2307/3213688zbMath0551.60087OpenAlexW2107363162MaRDI QIDQ3344948
Frederic Y. M. Wan, Henry C. Tuckwell
Publication date: 1984
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.591.6843
Ornstein-Uhlenbeck processfirst-exit timemean first-passage timemoving barriersexponentially decaying barrier
Related Items
A review of the integrate-and-fire neuron model: I. Homogeneous synaptic input ⋮ Approximation of the first passage time density of a Wiener process to an exponentially decaying boundary by two-piecewise linear threshold. Application to neuronal spiking activity ⋮ Delayed-exponential approximation of a linear homogeneous diffusion model of neuron ⋮ Derivation and experimental comparison of cell-division probability densities ⋮ Random assignment versus fixed assignment in multilevel importance splitting for estimating stochastic reach probabilities ⋮ Mean exit time and escape probability for the Ornstein–Uhlenbeck process ⋮ A further study of the choice between two hedging strategies -- the continuous case ⋮ Feynman–Kac equations for reaction and diffusion processes ⋮ Multiple barrier-crossings of an Ornstein-Uhlenbeck diffusion in consecutive periods ⋮ A Lower Bound for the First Passage Time Density of the Suprathreshold Ornstein-Uhlenbeck Process ⋮ First passage time for multivariate jump-diffusion processes in finance and other areas of applications ⋮ Effect of an exponentially decaying threshold on the firing statistics of a stochastic integrate-and-fire neuron ⋮ The moving-eigenvalue method: hitting time for Itô processes and moving boundaries
