A first-passage-place problem for integrated diffusion processes

DOI10.1017/JPR.2023.19MaRDI QIDQ6198960zbMATH OpenOpenAlexFDO

Authors Mario Lefebvre

Publication date 23 February 2024

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

Full work available at URL https://doi.org/10.1017/jpr.2023.19

zbMATH Keywords

Brownian motionfirst-passage timeKolmogorov backward equationLaplace transform

Mathematics Subject Classification ID

Diffusion processes (60J60) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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Cites work

• A winding problem for a resonator driven by a white noise
• First-Passage Densities of a Two-Dimensional Process
• Handbook of ordinary differential equations. Exact solutions, methods, and problems
• scientific article; zbMATH DE number 3736679 (Why is no real title available?)
• scientific article; zbMATH DE number 3240796 (Why is no real title available?)
• Maximizing the expected remaining useful lifetime of a weakly controlled device
• On the First Passage of the Integrated Wiener Process
• On the first-passage time of an integrated Gauss-Markov process
• On the first-passage time of integrated Brownian motion
• Sur le premier instant de passage de l'intégrale du mouvement brownien. (The first passage time for the integrated Brownian motion)
• The escape probability for integrated Brownian motion with non-zero drift
• The mean of the running maximum of an integrated Gauss-Markov process and the connection with its first-passage time

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