First-passage problems for degenerate two-dimensional diffusion processes

DOI10.1007/BF02595815MaRDI QIDQ1423860zbMATH OpenOpenAlexFDO

Authors Mario Lefebvre

Publication date 7 March 2004

Published in Test (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02595815

zbMATH Keywords

Brownian motiondiffusion processhitting timeKolmogorov equationspecial functionsSturm-Liouville problem

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65)

Review text

Let \(Y_t\) be a one-dimensional Itô diffusion process and let \(X_t := \int_0^t Y_s\,ds\). The author studies the process \(Z_t := (X_t,Y_t)\) in the second quadrant of the plane. If \(Y_t\) is a Brownian motion or a particular type of Bessel process, then the probability that \(Z_t\) hits the \(x\)-axis before it hits the \(y\)-axis is explicitly given in terms of incomplete Gamma functions. If \(Y_t\) is a Brownian motion, the mean exit time of \(Z_t\) from the infinite rectangle \(\{(x,y)\mid x<0, 0<d_1 <y<d_2\}\) is calculated and expressed in terms of an eigenfunction expansion by Airy functions.

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Cites work

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• scientific article; zbMATH DE number 5320021 (Why is no real title available?)
• scientific article; zbMATH DE number 3302410 (Why is no real title available?)
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Cited in

(10)

• First passage sets of the 2D continuum Gaussian free field
• The first passage sets of the 2D Gaussian free field: convergence and isomorphisms
• Moments of first-passage places and related results for the integrated Brownian motion
• A first-passage problem for a two-dimensional controlled random walk
• scientific article; zbMATH DE number 1795964 (Why is no real title available?)
• scientific article; zbMATH DE number 1563434 (Why is no real title available?)
• Mean of a first-passage time for a two-dimensional diffusion process
• Conditioning two diffusion processes with respect to their first-encounter properties
• First-exit-time problems for two-dimensional Wiener and Ornstein–Uhlenbeck processes through time-varying ellipses
• First passage times of two-dimensional correlated processes: analytical results for the Wiener process and a numerical method for diffusion processes

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