First-Passage Distributions of Bidimensional Processes

DOI10.1017/S0269964800004393zbMath1095.60502MaRDI QIDQ5485374

Mario Lefebvre

Publication date: 30 August 2006

Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Mathematics Subject Classification ID

Sample path properties (60G17)

Related Items (1)

Mean First-Passage Time to Zero for Wear Processes

Cites Work

• Moment generating function of a first hitting place for the integrated Ornstein-Uhlenbeck process
• Optimal control of diffusion processes and hamilton–jacobi–bellman equations part 2 : viscosity solutions and uniqueness
• Viscosity Solutions of Hamilton-Jacobi Equations
• The one-sided barrier problem for an integrated ornstein-uhlenbeck process
• First-Passage Densities of a Two-Dimensional Process
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