Construction of first-passage-time densities for a diffusion process which is not necessarily time-homogeneous

DOI10.2307/3214694zbMath0741.60075OpenAlexW2325584680MaRDI QIDQ3988134

Ramón Gutiérrez-Jáimez, Patricia Román-Román, A. Juan Gonzalez

Publication date: 28 June 1992

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3214694

zbMATH Keywords

Kolmogorov equationfirst-passage-time probability density functionslognormal process

Mathematics Subject Classification ID

Diffusion processes (60J60)

Related Items (6)

Moments of the first passage time under external driving ⋮ Gauss-Markov processes in the presence of a reflecting boundary and applications in neuronal models ⋮ On Markov chain approximations for computing boundary crossing probabilities of diffusion processes ⋮ A First-Passage-Time Problem for Symmetric and Similar Two-Dimensional Birth–Death Processes ⋮ First-passage-time location function: application to determine first-passage-time densities in diffusion processes ⋮ On the construction of a special class of time-inhomogeneous diffusion processes

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