Analysis of reflected diffusions via an exponential time-based transformation

DOI10.1007/S10955-016-1525-9MaRDI QIDQ310026zbMATH OpenOpenAlexWikidataFDO

Authors Antonio Di Crescenzo, Virginia Giorno, Amelia G. Nobile

Publication date 7 September 2016

Published in Journal of Statistical Physics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10955-016-1525-9

zbMATH Keywords

Ornstein-Uhlenbeck processWiener processfirst passage timeBessel processconditional densityRayleigh process

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)

Recommendations

• On the densities of certain bounded diffusion processes
• On the first passage times of reflected O-U processes with two-sided barriers
• Time reversal and reflected diffusions
• On first passage times of sticky reflecting diffusion processes with double exponential jumps
• On the transition densities for reflected diffusions

Cites work

• scientific article; zbMATH DE number 1631027 (Why is no real title available?)
• scientific article; zbMATH DE number 3133117 (Why is no real title available?)
• scientific article; zbMATH DE number 4078444 (Why is no real title available?)
• scientific article; zbMATH DE number 3736679 (Why is no real title available?)
• scientific article; zbMATH DE number 1129546 (Why is no real title available?)
• scientific article; zbMATH DE number 3226563 (Why is no real title available?)
• scientific article; zbMATH DE number 3240796 (Why is no real title available?)
• scientific article; zbMATH DE number 3273551 (Why is no real title available?)
• scientific article; zbMATH DE number 3083637 (Why is no real title available?)
• A Monte Carlo method for the simulation of first passage times of diffusion processes
• A diffusion approximation for a GI/GI/1 queue with balking or reneging
• A double-ended queue with catastrophes and repairs, and a jump-diffusion approximation
• A fast algorithm for the first-passage times of Gauss-Markov processes with Hölder continuous boundaries
• A general solution of the Fokker-Planck equation
• A note on the moments of the first-passage time of the Ornstein-Uhlenbeck process with a reflecting boundary
• A result on the first-passage time of an Ornstein-Uhlenbeck process
• A transformation approach to modelling multi-modal diffusions
• Constructing transient birth-death processes by means of suitable transformations
• Diffusion Processes in One Dimension
• Diffusion with optimal resetting
• Exact solution for the diffusion in bistable potentials
• First passage time statistics of Brownian motion with purely time dependent drift and diffusion
• Gussian diffusions and continuous state branching processes with killing
• Handbook of stochastic methods for physics, chemistry and the natural sciences.
• Langevin equation with multiplicative white noise: transformation of diffusion processes into the Wiener process in different prescriptions
• Nonlocal transformations of Kolmogorov equations into the backward heat equation
• On some time-non-homogeneous linear diffusion processes and related bridges
• On the M/M/1 queue with catastrophes and its continuous approximation
• On the Transformation of Diffusion Processes into the Wiener Process
• On the construction of first-passage-time densities for diffusion processes
• On the probability densities of an Ornstein–Uhlenbeck process with a reflecting boundary
• On the reflected Ornstein-Uhlenbeck process with catastrophes
• On the transformation of diffusion equations and boundaries into the Kolmogorov equation for the Wiener process
• On the transformation of diffusion processes into the Feller process
• On the transformation of diffusion processes into the Wiener process
• On the transition densities for reflected diffusions
• Properties of the reflected Ornstein-Uhlenbeck process
• Restricted Ornstein-Uhlenbeck process and applications in neuronal models with periodic input signals
• Some remarks on the Rayleigh process
• Stochastic orders
• Table of integrals, series, and products. Translated from the Russian. Translation edited and with a preface by Alan Jeffrey and Daniel Zwillinger. With one CD-ROM (Windows, Macintosh and UNIX)
• The parabolic differential equations and the associated semigroups of transformation
• Transformations of diffusions with jumps

Cited in

(8)

• Applications of the multi-sigmoidal deterministic and stochastic logistic models for plant dynamics
• On a time-inhomogeneous diffusion process with discontinuous drift
• Simulation of sample paths for Gauss-Markov processes in the presence of a reflecting boundary
• First-passage times and related moments for continuous-time birth-death chains
• A time-non-homogeneous double-ended queue with failures and repairs and its continuous approximation
• Generating random variates from PDF of Gauss-Markov processes with a reflecting boundary
• On the construction of a special class of time-inhomogeneous diffusion processes
• On short-term loan interest rate models: a first passage time approach

This page was built for publication: Analysis of reflected diffusions via an exponential time-based transformation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q310026)