The exit problem for certain dynamical systems with small poisson disturbances

DOI10.1080/07362998408809040zbMath0552.60052OpenAlexW2074157942MaRDI QIDQ3345522

K. H. Wickwire

Publication date: 1984

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

Full work available at URL: https://doi.org/10.1080/07362998408809040

zbMATH Keywords

infinitesimal operatormean first passage timeperturbed differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05)

Cites Work

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• Differential-difference equations
• Persistence times of populations with large random fluctuations
• On the Poisson disorder problem
• Optimal stopping problems for differential equations perturbed by a poisson process
• The expected first-passage time for a sufficient statistic arising in the Poisson disorder problem
• Sequential Decision Problems for Processes with Continuous time Parameter. Testing Hypotheses

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