First passage times for some classes of fractional time-changed diffusions

DOI10.1080/07362994.2021.1953386zbMath1495.60075OpenAlexW3190784175MaRDI QIDQ5085217

Enrica Pirozzi, Nikolai N. Leonenko

Publication date: 27 June 2022

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

Full work available at URL: https://doi.org/10.1080/07362994.2021.1953386

zbMATH Keywords

integral equationfirst passage timefractional diffusionnumerical evaluationtime-changed diffusion

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Diffusion processes (60J60)

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