First-Passage Densities of a Two-Dimensional Process

DOI10.1137/0149091MaRDI QIDQ4730578zbMATH OpenOpenAlexFDO

Authors Mario Lefebvre

Publication date 1989

Published in SIAM Journal on Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/0149091

zbMATH Keywords

Brownian motionfirst-passage densitymoment generating functionoptimal control

Mathematics Subject Classification ID

Brownian motion (60J65) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Optimal stochastic control (93E20)

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Cited in

(26)

• Moment generating function of a first hitting place for the integrated Ornstein-Uhlenbeck process
• Similarity solutions of first-passage problems for two-dimensional Wiener processes
• Last hitting time for the integral of the Brownian motion
• Approximate expected hitting times of certain state variables of physics and economics
• First-passage problems for degenerate two-dimensional diffusion processes
• First hitting place distributions for two-dimensional Wiener processes
• An asymptotic formula for the Kolmogorov diffusion and a refinement of Sinai's estimates for the integral of Brownian motion
• Impact of scale on signed, unsigned, authentic and phantom zero crossings in a noisy environment
• Excursions of the integral of the Brownian motion
• The area under a spectrally positive stable excursion and other related processes
• First passage sets of the 2D continuum Gaussian free field
• Modelling strike duration distribution: a controlled Wiener process approach
• On the first hitting place of the integrated Wiener process
• Hitting-Time Densities of a Two-Dimensional Markov Process
• A characterization of the first hitting time of double integral processes to curved boundaries
• The area of a spectrally positive stable process stopped at zero
• Random acceleration process on finite intervals under stochastic restarting
• Local asymptotics for the area of random walk excursions
• First passage to a semi-infinite line for a two-dimensional Wiener process
• First-Passage Distributions of Bidimensional Processes
• Hitting place probabilities for two-dimensional diffusion processes
• A first-passage-place problem for integrated diffusion processes
• Inertial Lévy flights in bounded domains
• Side boundary potentials for a Kolmogorov-type PDE
• First passage times of two-dimensional correlated processes: analytical results for the Wiener process and a numerical method for diffusion processes
• Hitting lines at minimal cost with a Gaussian process

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