On first–crossing times of one–dimensional diffusions over two time–dependent boundaries

DOI10.1080/07362990008809663zbMath0989.60073OpenAlexW2032205074MaRDI QIDQ4949460

Mario Abundo

Publication date: 5 August 2002

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362990008809663

zbMATH Keywords

partial differential equationstime-dependent boundariesmoments of the first-crossing times

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (8)

On the First-Passage Time of a Diffusion Process Over a One-Sided Stochastic Boundary ⋮ Stability of the overdamped Langevin equation in double-well potential ⋮ One-Dimensional Reflected Diffusions with Two Boundaries and an Inverse First-Hitting Problem ⋮ An inverse first-passage problem for one-dimensional diffusions with random starting point ⋮ 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 ⋮ Limit at Zero of the First-Passage Time Density and the Inverse Problem for One-Dimensional Diffusions ⋮ Some conditional crossing results of Brownian motion over a piecewise-linear boundary

Cites Work

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• Boundary-crossing probabilities for the Brownian motion and Poisson processes and techniques for computing the power of the Kolmogorov-Smirnov test
• Level-crossing problems for random processes
• The First Passage Problem for a Continuous Markov Process

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