Almost sure comparisons for first passage times of diffusion processes through boundaries

DOI10.1023/B:MCAP.0000026563.27820.FFMaRDI QIDQ596517zbMATH OpenOpenAlexFDO

Authors Sumit K. Garg, Laura Sacerdote, Charles Eugene Smith

Publication date 10 August 2004

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/b:mcap.0000026563.27820.ff

zbMATH Keywords

comparison theoremdiffusion processFeller processfirst passage timeOrnstein-Uhlenbeck process

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60)

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Cited in

(3)

• Order statistics for first passage times in diffusion processes
• Stochastic integrate and fire models: a review on mathematical methods and their applications
• On the inverse first-passage-time problem for a Wiener process

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