First-Passage Problems for One-Dimensional Diffusions with Random Jumps from a Boundary

DOI10.1080/07362994.2011.532037zbMath1213.60128MaRDI QIDQ3081442

Mario Abundo

Publication date: 8 March 2011

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2011.532037

zbMATH Keywords

first passage time; random jump; scalar diffusion

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60J60: Diffusion processes

58J65: Diffusion processes and stochastic analysis on manifolds

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Cites Work

• On a class of mathematical ecosystems with random jumps
• Ergodic behavior of diffusions with random jumps from the boundary
• On the M/M/1 queue with catastrophes and its continuous approximation
• Limit at Zero of the First-Passage Time Density and the Inverse Problem for One-Dimensional Diffusions
• Biased movement at a boundary and conditional occupancy times for diffusion processes
• The First Passage Problem for a Continuous Markov Process
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