Boundary crossing problems and functional transformations for Ornstein-Uhlenbeck processes

DOI10.1017/JPR.2024.58MaRDI QIDQ7020334zbMATH OpenFDO

Authors Aria Ahari, Larbi Alili, Massimiliano Tamborrino

Publication date 4 March 2025

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

Full work available at URL https://doi.org/10.1017/JPR.2024.58

zbMATH Keywords

Brownian motionfirst passage timesFokker-Planck equationLie algebrasOrnstein-Uhlenbeck processesSturm-Liouville equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Boundary theory for Markov processes (60J50) Diffusion processes (60J60) Brownian motion (60J65)

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