A first-passage problem for exponential integrated diffusion processes

DOI10.31390/JOSA.3.3.02MaRDI QIDQ6922972zbMATH OpenFDO

Authors Mario Lefebvre

Publication date 30 September 2025

Published in Journal of Stochastic Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.31390/JOSA.3.3.02

zbMATH Keywords

Brownian motionfirst-exit timeKolmogorov backward equationLaplace transform

Mathematics Subject Classification ID

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

Cites work

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• On the First Passage of the Integrated Wiener Process
• On the moments of the integrated geometric Brownian motion
• Sur le premier instant de passage de l'intégrale du mouvement brownien. (The first passage time for the integrated Brownian motion)
• The Laplace transform of hitting times of integrated geometric Brownian motion
• The one-sided barrier problem for an integrated ornstein-uhlenbeck process

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