Eigenvalue expansions for diffusion hitting times
From MaRDI portal
Cites work
- Eigenvalue expansions for diffusion hitting times
- Elementary Solutions for Certain Parabolic Partial Differential Equations
- scientific article; zbMATH DE number 3161336 (Why is no real title available?)
- scientific article; zbMATH DE number 3562172 (Why is no real title available?)
- scientific article; zbMATH DE number 3624599 (Why is no real title available?)
- scientific article; zbMATH DE number 3206627 (Why is no real title available?)
- scientific article; zbMATH DE number 3223982 (Why is no real title available?)
- scientific article; zbMATH DE number 3287297 (Why is no real title available?)
- scientific article; zbMATH DE number 3302961 (Why is no real title available?)
- scientific article; zbMATH DE number 3348831 (Why is no real title available?)
- scientific article; zbMATH DE number 3107995 (Why is no real title available?)
- Log-concavity and log-convexity in passage time densities of diffusion and birth-death processes
- Note on the Infinite Divisibility of Exponential Mixtures
- Some probabilistic properties of Bessel functions
- Special functions, infinite divisibility and transcendental equations
- Special Functions, Stieltjes Transforms and Infinite Divisibility
- Spectral distribution of a differential operator
Cited in
(56)- On the excursion theory for linear diffusions
- On the asymptotic behaviour of first passage times for diffusions
- Diffusion first passage times: Approximations and related differential equations
- Approximating probability densities on the positive half-line
- The hitting time density for a reflected Brownian motion
- Brownian motion with a horizontal Bessel drift in a parabolic-type domain
- Time and place of the maximum for one-dimensional diffusion bridges and meanders
- Pairwise near-maximal grand coupling of Brownian motions
- On the evaluation of an integral involving the Whittaker \(W\) function
- Yukawa potential, panharmonic measure and Brownian motion
- Hitting times to spheres of Brownian motions with drifts starting from the origin
- Walk on spheres algorithm for Helmholtz and Yukawa equations via Duffin correspondence
- Nodal geometry, heat diffusion and Brownian motion
- Invariance principle for non-homogeneous random walks
- Generalized disconnection exponents
- A cumulant approach for the first-passage-time problem of the Feller square-root process
- Approximating the first passage time density from data using generalized Laguerre polynomials
- Probability laws related to the Jacobi theta and Riemann zeta functions, and Brownian excur\-sions
- On h-transforms of one-dimensional diffusions stopped upon hitting zero
- Hitting times to spheres of Brownian motions with and without drifts
- The probability distributions of the first hitting times of Bessel processes
- Exit times densities of the Bessel process
- On the quasi-stationary distribution of the Shiryaev-Roberts diffusion
- Eigenvalue expansions for diffusion hitting times
- On absorption times and Dirichlet eigenvalues
- Efficient Estimation of One-Dimensional Diffusion First Passage Time Densities via Monte Carlo Simulation
- Classes of infinitely divisible distributions and densities
- An eigenvalue decomposition for first hitting times in random walks
- THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE
- Invariance formulas for stopping times of squared Bessel process
- Hitting time distributions of single points for 1-dimensional generalized diffusion processes
- Explicit asymptotics on first passage times of diffusion processes
- Strong stationary duality for diffusion processes
- Some applications of heat flow to Laplace eigenfunctions
- Volterra integral equations of the first kind and applications to linear diffusions
- Multiple barrier-crossings of an Ornstein-Uhlenbeck diffusion in consecutive periods
- Asymptotic expansions for the first hitting times of Bessel processes
- Asymptotics of the densities of the first passage time distributions for Bessel diffusions
- Representations of the First Hitting Time Density of an Ornstein-Uhlenbeck Process1
- Counting excursions: symmetries, knock-ins and non-linear formula for Itô-McKean diffusions
- Square-root boundaries for Bessel processes and the hitting times of radial Ornstein-Uhlenbeck processes
- Moments and tails of hitting times of Bessel processes and convolutions of elementary mixtures of exponential distributions
- On optimal uniform approximation of Lévy processes on Banach spaces with finite variation processes
- On bivariate distributions of the local time of Itô-McKean diffusions
- Integration by parts formula for exit times of one dimensional diffusions
- Hitting times of hyperbolic Bessel processes
- Capacity of the range of random walk: the law of the iterated logarithm
- Subexponential estimates for the first hitting time of a Brownian motion with singular drift
- Tail probability of the hitting time of Brownian motion to a sphere with fixed hitting sites
- On the weak convergence of conditioned Bessel bridges
- Joint distribution of the hitting time and site for Ornstein-Uhlenbeck process
- Grid-Free Monte Carlo for Time-Dependent Diffusion
- Lie symmetries methods in boundary crossing problems for diffusion processes
- Hitting law asymptotics for a fluctuating Brownian functional
- On Pólya mixtures of multivariate Gaussian distributions
- On subordinated multivariate Gaussian Lévy processes
This page was built for publication: Eigenvalue expansions for diffusion hitting times
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3051182)
