A first-passage-place problem for integrated diffusion processes

DOI10.1017/jpr.2023.19OpenAlexW4377244946MaRDI QIDQ6198960

Mario Lefebvre

Publication date: 23 February 2024

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

Full work available at URL: https://doi.org/10.1017/jpr.2023.19

zbMATH Keywords

Laplace transformBrownian motionfirst-passage timeKolmogorov backward equation

Mathematics Subject Classification ID

Diffusion processes (60J60) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Cites Work

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• Sur le premier instant de passage de l'intégrale du mouvement brownien. (The first passage time for the integrated Brownian motion)
• On the first-passage time of integrated Brownian motion
• A winding problem for a resonator driven by a white noise
• On the first-passage time of an integrated Gauss-Markov process
• The mean of the running maximum of an integrated Gauss–Markov process and the connection with its first-passage time
• The escape probability for integrated Brownian motion with non-zero drift
• First-Passage Densities of a Two-Dimensional Process
• Maximizing the expected remaining useful lifetime of a weakly controlled device
• On the First Passage of the Integrated Wiener Process

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