Some results about boundary crossing for Brownian motion

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Publication:1864690

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zbMath1009.60069MaRDI QIDQ1864690

Mario Abundo

Publication date: 18 March 2003

Published in: Ricerche di Matematica (Search for Journal in Brave)

zbMATH Keywords

Brownian motion diffusion process first-passage-time boundary-crossing probability hazard-rate approximation piecewise-linear boundary

Mathematics Subject Classification ID

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Related Items (5)

Approximation of the first passage time density of a Wiener process to an exponentially decaying boundary by two-piecewise linear threshold. Application to neuronal spiking activity ⋮ First passage times for some classes of fractional time-changed diffusions ⋮ The first rendezvous time of Brownian motion and compound Poisson-type processes ⋮ On the densities of certain bounded diffusion processes ⋮ On the first hitting time of a one-dimensional diffusion and a compound Poisson process

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