First Passage Problems for Asymmetric Wiener Processes

DOI10.1239/jap/1143936251zbMath1099.60056OpenAlexW2090561114MaRDI QIDQ5488997

Mario Lefebvre

Publication date: 25 September 2006

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.jap/1143936251

zbMATH Keywords

Brownian motionhitting timeKolmogorov equation

Mathematics Subject Classification ID

Brownian motion (60J65) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (5)

First hitting problems for Markov chains that converge to a geometric Brownian motion ⋮ The gambler's ruin problem for a Markov chain related to the Bessel process ⋮ First hitting place probabilities for a discrete version of the Ornstein-Uhlenbeck process ⋮ On a discrete version of the CIR process ⋮ First-Passage Problems for Asymmetric Diffusions and Skew-diffusion Processes

Cites Work

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• On skew Brownian motion
• Notes on the variance of the number of maxima in three dimensions
• Biased movement at a boundary and conditional occupancy times for diffusion processes
• The ruin problem and cover times of asymmetric random walks and Brownian motions

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