Eigenvalue expansions for diffusion hitting times

DOI10.1007/BF00538895zbMath0415.60071MaRDI QIDQ3051182

John T. Kent

Publication date: 1980

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und verwandte Gebiete (Search for Journal in Brave)

zbMATH Keywords

diffusion; Bessel functions; infinite divisibility; hitting time; mixture of exponential distributions; Sturm-Liouville expansion

Mathematics Subject Classification ID

60J60: Diffusion processes

Related Items

THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE, Hitting time distributions of single points for 1-dimensional generalized diffusion processes, Representations of the First Hitting Time Density of an Ornstein-Uhlenbeck Process¹, Hitting law asymptotics for a fluctuating Brownian functional, On Pólya mixtures of multivariate Gaussian distributions, Boundary-crossing identities for diffusions having the time-inversion property, On subordinated multivariate Gaussian Lévy processes, On the excursion theory for linear diffusions, On the asymptotic behaviour of first passage times for diffusions, Diffusion first passage times: Approximations and related differential equations, Approximating probability densities on the positive half-line, Probability laws related to the Jacobi theta and Riemann zeta functions, and Brownian excursions, Eigenvalue expansions for diffusion hitting times, On absorption times and Dirichlet eigenvalues, Efficient Estimation of One-Dimensional Diffusion First Passage Time Densities via Monte Carlo Simulation, Classes of infinitely divisible distributions and densities, An eigenvalue decomposition for first hitting times in random walks

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