Smooth first-passage densities for one-dimensional diffusions

DOI10.2307/3214261zbMath0622.60063OpenAlexW2325872698MaRDI QIDQ3759632

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Publication date: 1987

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3214261

zbMATH Keywords

reflecting Brownian motionSkorohod equation with two reflecting boundaries

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Ordinary differential equations and systems with randomness (34F05) Boundary theory for Markov processes (60J50)

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