First Passage Time Densities through H\"older curves

zbMath1405.60126arXiv1607.04859MaRDI QIDQ4580334

Jimyeong Lee

Publication date: 15 August 2018

Full work available at URL: https://arxiv.org/abs/1607.04859

zbMATH Keywords

heat equationBrownian motionfirst passage time densities

Mathematics Subject Classification ID

Brownian motion (60J65) Heat equation (35K05) Free boundary problems for PDEs (35R35)

Related Items (2)

The First Passage Time Density of Brownian Motion and the Heat Equation with Dirichlet Boundary Condition in Time Dependent Domains ⋮ Non local branching Brownian motions with annihilation and free boundary problems

Cites Work

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• On boundary crossing probabilities for diffusion processes
• Free Boundary Problems in PDEs and Particle Systems
• Boundary crossing identities for Brownian motion and some nonlinear ode’s
• On an integral equation for first-passage-time probability densities
• A Transition to Sharp Timing in Stochastic Leaky Integrate-and-Fire Neurons Driven by Frozen Noisy Input

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