On the First-Passage Time of a Diffusion Process Over a One-Sided Stochastic Boundary
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Publication:4795538
DOI10.1081/SAP-120017530zbMath1032.60074MaRDI QIDQ4795538
Publication date: 24 February 2003
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)
Related Items (5)
One-Dimensional Reflected Diffusions with Two Boundaries and an Inverse First-Hitting Problem ⋮ On the first hitting time of a one-dimensional diffusion and a compound Poisson process ⋮ Solving an Inverse First-Passage-Time Problem for Wiener Process Subject to Random Jumps from a Boundary ⋮ First-Passage Problems for Asymmetric Diffusions and Skew-diffusion Processes ⋮ Limit at Zero of the First-Passage Time Density and the Inverse Problem for One-Dimensional Diffusions
Cites Work
- Unnamed Item
- The Crossing Time of a One-Sided Nonlinear Boundary by Sums of Independent Random Variables
- Martingales, Tauberian Theorem, and Strategies of Gambling
- On first–crossing times of one–dimensional diffusions over two time–dependent boundaries
- Asymptotics of first-passage time over a one-sided stochastic boundary
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