Boundary crossing identities for Brownian motion and some nonlinear ode’s

DOI10.1090/S0002-9939-2014-12194-0zbMATH Open1329.60287OpenAlexW2009244783MaRDI QIDQ3190385FDOQ3190385

Larbi Alili, Pierre Patie

Publication date: 17 September 2014

Published in: Proceedings of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/s0002-9939-2014-12194-0

zbMATH Keywords

Brownian motionheat equationSturm-Liouville equationsboundary crossing identities

Mathematics Subject Classification ID

Brownian motion (60J65) Heat equation (35K05) Boundary theory for Markov processes (60J50) Sturm-Liouville theory (34B24)

Cites Work

• Title not available (Why is that?)
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• On the first hitting time and the last exit time for a Brownian motion to/from a moving boundary
• Boundary crossing of Brownian motion. Its relation to the law of the iterated logarithm and to sequential analysis
• Classes of solutions of linear systems of partial differential equations of parabolic type
• A decomposition of Bessel Bridges
• Boundary-crossing identities for diffusions having the time-inversion property
• The Brownian movement and stochastic equations

Cited In (6)

• Lie symmetries methods in boundary crossing problems for diffusion processes
• First Passage Time Densities through H\"older curves
• Non-crossing Brownian paths and Dyson Brownian motion under a moving boundary
• Lipschitz continuity in the Hurst parameter of functionals of stochastic differential equations driven by a fractional Brownian motion
• Geometry of distribution-constrained optimal stopping problems
• Symmetry of stochastic non-variational differential equations

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