AN INTEGRAL EQUATION FOR THE DISTRIBUTION OF THE FIRST EXIT TIME OF A REFLECTED BROWNIAN MOTION

DOI10.1017/S144618110900025XzbMath1193.60052OpenAlexW2170857298MaRDI QIDQ5850999

Gerardo Hernandez-del-Valle, Victor H. de la Peña, Carlos G. Pacheco-González

Publication date: 21 January 2010

Published in: The ANZIAM Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s144618110900025x

zbMATH Keywords

numerical methodsVolterra integral equationfirst passage timereflected Brownian motion

Mathematics Subject Classification ID

Gaussian processes (60G15) General theory of stochastic processes (60G07) Sample path properties (60G17) Algorithms for approximation of functions (65D15) Volterra integral equations (45D05)

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Cites Work

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• On integral equations arising in the first-passage problem for Brownian motion
• The first exit time of planar Brownian motion from the interior of a parabola
• The chance of a long lifetime for Brownian motion in a horn-shaped domain
• On an integral equation for first-passage-time probability densities
• A boundary crossing probability for the Bessel process
• Heuristic Approach to the Kolmogorov-Smirnov Theorems
• The First Passage Problem for a Continuous Markov Process

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