First-passage problems for asymmetric diffusions and skew-diffusion processes

DOI10.1142/S1230161209000256MaRDI QIDQ5851887zbMATH OpenFDO

Authors Mario Abundo

Publication date 26 January 2010

Published in Open Systems & Information Dynamics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/S1230161209000256

zbMATH Keywords

asymmetric Wiener processone-dimensional diffusion processskew Brownian motionskew diffusion process

Mathematics Subject Classification ID

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

Recommendations

• First Passage Problems for Asymmetric Wiener Processes
• First-passage problems for one-dimensional diffusions with random jumps from a boundary
• scientific article; zbMATH DE number 520130
• First passage time of skew Brownian motion
• On first-passage-time and transition densities for strongly symmetric diffusion processes

Cites work

• Biased movement at a boundary and conditional occupancy times for diffusion processes
• First Passage Problems for Asymmetric Wiener Processes
• Limit at Zero of the First-Passage Time Density and the Inverse Problem for One-Dimensional Diffusions
• On skew Brownian motion
• On the First-Passage Time of a Diffusion Process Over a One-Sided Stochastic Boundary

Cited in

(8)

• On the first-passage area of a one-dimensional jump-diffusion process
• First hitting times for doubly skewed Ornstein-Uhlenbeck processes
• On first hitting times for skew CIR processes
• On a discrete version of the CIR process
• First hitting problems for Markov chains that converge to a geometric Brownian motion
• First Passage Problems for Asymmetric Wiener Processes
• Hitting times for sticky skew CIR process
• Some properties of doubly skewed CIR processes

This page was built for publication: First-passage problems for asymmetric diffusions and skew-diffusion processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5851887)