Smoothness of first passage time distributions and a new integral equation for the first passage time density of continuous Markov processes

DOI10.1239/aap/1037990957zbMath1026.60046OpenAlexW2067623645MaRDI QIDQ4706210

Axel Lehmann

Publication date: 2 December 2003

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

Full work available at URL: https://doi.org/10.1239/aap/1037990957

zbMATH Keywords

Brownian motionOrnstein-Uhlenbeck processVolterra integral equationmoving boundariesfirst passage time densitycontinuous Markov processes

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Other nonlinear integral equations (45G10) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40)

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