First passage times over stochastic boundaries for subdiffusive processes
DOI10.1090/tran/8534zbMath1490.60286arXiv1904.03168OpenAlexW4230735061MaRDI QIDQ5036094
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Publication date: 23 February 2022
Published in: Transactions of the American Mathematical Society (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1904.03168
Lévy processeslong-range dependenceWiener-Hopf factorizationruin probabilitystable processesinverse subordinatorsemi-regenerative processesfirst passage time problemstime-changedsubdiffusive diffusions
Processes with independent increments; Lévy processes (60G51) Stopping times; optimal stopping problems; gambling theory (60G40) Self-similar stochastic processes (60G18) Stable stochastic processes (60G52) Anomalous diffusion models (subdiffusion, superdiffusion, continuous-time random walks, etc.) (60K50)
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