Stochastic dynamics and passage times for diffusion approximations

DOI10.1007/S12591-008-0009-ZzbMath1210.60088OpenAlexW2028866016MaRDI QIDQ628558

P. R. Vittal, V. Muralidhar, T. Jagadesan

Publication date: 11 March 2011

Published in: Differential Equations and Dynamical Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s12591-008-0009-z

zbMATH Keywords

diffusion approximationreflecting barrierabsorbing barriergeneralised separable kernelimbedding method

Mathematics Subject Classification ID

Diffusion processes (60J60) Generation, random and stochastic difference and differential equations (37H10)

Related Items (2)

Storage Models for a Class of Master Equations with Separable Kernels ⋮ Stochastic Dynamics for Passage Times and Diffusion Approximations for Finite Capacity Storage Models with Different Kinds of Barriers

Cites Work

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• A laplace transform representation in a class of renewal queueing and risk processes
• The Gerber–Shiu function in a Sparre Andersen risk process perturbed by diffusion
• Random Walks with Nonnearest Neighbor Transitions. I. Analytic 1-D Theory for Next-Nearest Neighbor and Exponentially Distributed Steps

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