First-passage times for the Uhlenbeck-Ornstein process

DOI10.1088/0305-4470/19/17/019zbMath0614.60073OpenAlexW1997676440MaRDI QIDQ4721344

Peter W. Duck, Trevor W. Marshall, E. J. Watson

Publication date: 1986

Published in: Journal of Physics A: Mathematical and General (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1088/0305-4470/19/17/019

zbMATH Keywords

numerical solutionboundary layer theoryfirst- passage timeLaplace-transformed backward Kramers equation

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Diffusion and convection (76R99)

Related Items (4)

Exact cumulant Kramers-Moyal-like expansion ⋮ Random acceleration process on finite intervals under stochastic restarting ⋮ Half-range completeness for the Fokker-Planck equation with an external force ⋮ Stochastic resetting in underdamped Brownian motion

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