On first-passage-time and transition densities for strongly symmetric diffusion processes

DOI10.1017/S0027763000006140zbMath0873.60059OpenAlexW1591041769MaRDI QIDQ4343829

Amelia G. Nobile, Virginia Giorno, Antonio Di Crescenzo, Luigi M. Ricciardi

Publication date: 26 August 1997

Published in: Nagoya Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0027763000006140

zbMATH Keywords

Ornstein-Uhlenbeck processdiffusion processesfirst passage timeabsorbing boundarieshyperbolic processtime-varying boundaries

Mathematics Subject Classification ID

Diffusion processes (60J60) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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Cites Work

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• The minimum of a stationary Markov process superimposed on a U-shaped trend