On first-passage-time and transition densities for strongly symmetric diffusion processes
Publication:4343829
DOI10.1017/S0027763000006140zbMath0873.60059OpenAlexW1591041769MaRDI QIDQ4343829
Amelia G. Nobile, Virginia Giorno, Antonio Di Crescenzo, Luigi M. Ricciardi
Publication date: 26 August 1997
Published in: Nagoya Mathematical Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0027763000006140
Ornstein-Uhlenbeck processdiffusion processesfirst passage timeabsorbing boundarieshyperbolic processtime-varying boundaries
Diffusion processes (60J60) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)
Related Items (5)
Cites Work
- Sequential tests constructed from images
- The parabolic differential equations and the associated semigroups of transformation
- On the two-boundary first-crossing-time problem for diffusion processes
- A new integral equation for the evaluation of first-passage-time probability densities
- On the evaluation of first-passage-time probability densities via non-singular integral equations
- The minimum of a stationary Markov process superimposed on a U-shaped trend
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