On first–crossing times of one–dimensional diffusions over two time–dependent boundaries
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Publication:4949460
DOI10.1080/07362990008809663zbMath0989.60073OpenAlexW2032205074MaRDI QIDQ4949460
Publication date: 5 August 2002
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362990008809663
Diffusion processes (60J60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)
Related Items (8)
On the First-Passage Time of a Diffusion Process Over a One-Sided Stochastic Boundary ⋮ Stability of the overdamped Langevin equation in double-well potential ⋮ One-Dimensional Reflected Diffusions with Two Boundaries and an Inverse First-Hitting Problem ⋮ An inverse first-passage problem for one-dimensional diffusions with random starting point ⋮ On the first hitting time of a one-dimensional diffusion and a compound Poisson process ⋮ Solving an Inverse First-Passage-Time Problem for Wiener Process Subject to Random Jumps from a Boundary ⋮ Limit at Zero of the First-Passage Time Density and the Inverse Problem for One-Dimensional Diffusions ⋮ Some conditional crossing results of Brownian motion over a piecewise-linear boundary
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