Mean first passage times of two-dimensional processes with jumps

DOI10.1016/j.spl.2011.03.016zbMath1228.60085OpenAlexW2104759269MaRDI QIDQ553037

Mario Lefebvre, Li Jun Bo

Publication date: 26 July 2011

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2011.03.016

zbMATH Keywords

first passage timespartial integral-differential equationremaining lifetime of machines

Mathematics Subject Classification ID

Diffusion processes (60J60) Applications of renewal theory (reliability, demand theory, etc.) (60K10) PDEs in connection with statistics (35Q62)

Related Items (3)

First-passage problems for diffusion processes with state-dependent jumps ⋮ A radial basis function approach to compute the first-passage probability density function in two-dimensional jump-diffusion models for financial and other applications ⋮ Characterizations of random walks on random lattices and their ramifications

Cites Work

• Wiener processes with random effects for degradation data
• Mean First-Passage Time to Zero for Wear Processes
• Loss Rates for Lévy Processes with Two Reflecting Barriers
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