On the joint distribution of first-passage time and first-passage area of drifted Brownian motion

DOI10.1007/s11009-017-9546-7zbMath1390.60292arXiv1609.06854OpenAlexW3102168966MaRDI QIDQ1707061

Mario Abundo, Dionisio Del Vescovo

Publication date: 28 March 2018

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1609.06854

zbMATH Keywords

first-passage timeone-dimensional diffusionfirst-passage area

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Diffusion processes (60J60) Stochastic integrals (60H05)

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The first-passage area of Ornstein-Uhlenbeck process revisited, First-passage Brownian functionals with stochastic resetting, Joint distribution of first-passage time and first-passage area of certain Lévy processes, Asymptotic results for certain first-passage times and areas of renewal processes, The first-passage area of Wiener process with stochastic resetting, Statistics of the first passage area functional for an Ornstein–Uhlenbeck process

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