Volterra integral equations of the first kind and applications to linear diffusions

DOI10.1090/tran/8169zbMath1468.45001OpenAlexW3016831194MaRDI QIDQ5125069

Maciej Wiśniewolski, Jacek Jakubowski

Publication date: 1 October 2020

Published in: Transactions of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/tran/8169

zbMATH Keywords

Volterra integral equationbridgeslinear diffusionconvolution algebrakilled diffusion\(\varphi\)-deconvolution

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Stopping times; optimal stopping problems; gambling theory (60G40) Volterra integral equations (45D05)

Related Items (3)

Unnamed Item ⋮ On bivariate distributions of the local time of Itô-McKean diffusions ⋮ Explicit solutions of Volterra integro-differential convolution equations

Cites Work

• Invariant manifolds for Volterra integral equations of convolution type
• On the excursion theory for linear diffusions
• On the joint distribution of the maximum and its location for a linear diffusion
• The spectral decomposition of a diffusion hitting time
• On the asymptotic behaviors of transition probability densities of one- dimensional diffusion processes
• The law of the maximum of a Bessel bridge
• Sharp estimates of transition probability density for Bessel process in half-line
• The probability distributions of the first hitting times of Bessel processes
• The probability densities of the first hitting times of Bessel processes
• Eigenvalue expansions for diffusion hitting times
• Classes of infinitely divisible distributions and densities
• A decomposition of Bessel Bridges
• Path Decomposition and Continuity of Local Time for One-Dimensional Diffusions, I
• Volterra Integral Equations in Banach Space
• On Linear Volterra Integral Equations of Convolution Type
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