Joint Densities of First Hitting Times of a Diffusion Process Through Two Time-Dependent Boundaries (Q5415099): Difference between revisions

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scientific article; zbMATH DE number 6293581

Language	Label	Description	Also known as
English	Joint Densities of First Hitting Times of a Diffusion Process Through Two Time-Dependent Boundaries	scientific article; zbMATH DE number 6293581

Statements

instance of

scholarly article

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title

Joint Densities of First Hitting Times of a Diffusion Process Through Two Time-Dependent Boundaries (English)

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Advances in Applied Probability

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publication date

9 May 2014

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full work available at URL

https://arxiv.org/abs/1403.1756

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https://projecteuclid.org/euclid.aap/1396360109

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zbMATH Keywords

first hitting time

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diffusion process

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Brownian motion

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Ornstein-Uhlenbeck process

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copula

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MaRDI profile type

MaRDI publication profile

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cites work

Numerical Inversion of Laplace Transforms of Probability Distributions

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Representations of the First Hitting Time Density of an Ornstein-Uhlenbeck Process<sup>1</sup>

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A first passage problem for a bivariate diffusion process: Numerical solution with an application to neuroscience when the process is Gauss-Markov

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Q3150773

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A new integral equation for the evaluation of first-passage-time probability densities

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On the two-boundary first-crossing-time problem for diffusion processes

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On the transformation of diffusion processes into the Feller process

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Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach

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On a symmetry-based constructive approach to probability densities for two-dimensional diffusion processes

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On the densities of certain bounded diffusion processes

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Some remarks on the Rayleigh process

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An improved technique for the simulation of first passage times for diffusion processes

0 references

A Monte Carlo method for the simulation of first passage times of diffusion processes

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Q4260739

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Q3681889

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Approximations of boundary crossing probabilities for a Brownian motion

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Limit at zero of the Brownian first-passage density

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On the transformation of diffusion processes into the Wiener process

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Q4127741

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On the probability densities of an Ornstein–Uhlenbeck process with a reflecting boundary

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Q3976319

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On an integral equation for first-passage-time probability densities

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Q4704751

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Stochastic Integrate and Fire Models: A Review on Mathematical Methods and Their Applications

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Q4171531

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Stochastic dynamic models of response time and accuracy: A foundation primer

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Q4003887

0 references

On the inverse first-passage-time problem for a Wiener process

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Identifiers

zbMATH Open document ID

1304.60086

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DOI

10.1239/aap/1396360109

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5415099

@@ Property / arXiv ID @@
+.1756
@@ Property / arXiv ID: 1403.1756 / rank @@
+Normal rank
@@ Property / cites work @@
+Numerical Inversion of Laplace Transforms of Probability Distributions
+Normal rank
@@ Property / cites work @@
+Representations of the First Hitting Time Density of an Ornstein-Uhlenbeck Process<sup>1</sup>
+Normal rank
@@ Property / cites work @@
+A first passage problem for a bivariate diffusion process: Numerical solution with an application to neuroscience when the process is Gauss-Markov
+Normal rank
@@ Property / cites work @@
+Q3150773
@@ Property / cites work: Q3150773 / rank @@
+Normal rank
@@ Property / cites work @@
+A new integral equation for the evaluation of first-passage-time probability densities
+Normal rank
@@ Property / cites work @@
+On the two-boundary first-crossing-time problem for diffusion processes
+Normal rank
@@ Property / cites work @@
+On the transformation of diffusion processes into the Feller process
+Normal rank
@@ Property / cites work @@
+Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach
+Normal rank
@@ Property / cites work @@
+On a symmetry-based constructive approach to probability densities for two-dimensional diffusion processes
+Normal rank
@@ Property / cites work @@
+On the densities of certain bounded diffusion processes
+Normal rank
@@ Property / cites work @@
+Some remarks on the Rayleigh process
@@ Property / cites work: Some remarks on the Rayleigh process / rank @@
+Normal rank
@@ Property / cites work @@
+An improved technique for the simulation of first passage times for diffusion processes
+Normal rank
@@ Property / cites work @@
+A Monte Carlo method for the simulation of first passage times of diffusion processes
+Normal rank
@@ Property / cites work @@
+Q4260739
@@ Property / cites work: Q4260739 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3681889
@@ Property / cites work: Q3681889 / rank @@
+Normal rank
@@ Property / cites work @@
+Approximations of boundary crossing probabilities for a Brownian motion
+Normal rank
@@ Property / cites work @@
+Limit at zero of the Brownian first-passage density
+Normal rank
@@ Property / cites work @@
+On the transformation of diffusion processes into the Wiener process
+Normal rank
@@ Property / cites work @@
+Q4127741
@@ Property / cites work: Q4127741 / rank @@
+Normal rank
@@ Property / cites work @@
+On the probability densities of an Ornstein–Uhlenbeck process with a reflecting boundary
+Normal rank
@@ Property / cites work @@
+Q3976319
@@ Property / cites work: Q3976319 / rank @@
+Normal rank
@@ Property / cites work @@
+On an integral equation for first-passage-time probability densities
+Normal rank
@@ Property / cites work @@
+Q4704751
@@ Property / cites work: Q4704751 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic Integrate and Fire Models: A Review on Mathematical Methods and Their Applications
+Normal rank
@@ Property / cites work @@
+Q4171531
@@ Property / cites work: Q4171531 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic dynamic models of response time and accuracy: A foundation primer
+Normal rank
@@ Property / cites work @@
+Q4003887
@@ Property / cites work: Q4003887 / rank @@
+Normal rank
@@ Property / cites work @@
+On the inverse first-passage-time problem for a Wiener process
+Normal rank