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 timespecial functionsSturm-Liouville problemKolmogorov equation

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 5320021 (Why is no real title available?)
• scientific article; zbMATH DE number 3302410 (Why is no real title available?)
• A winding problem for a resonator driven by a white noise
• First-Passage Densities of a Two-Dimensional Process
• Hitting lines at minimal cost with a Gaussian process
• Mean Exit times for Particles Driven by Weakly Colored Noise
• Moment generating function of a first hitting place for the integrated Ornstein-Uhlenbeck process
• On the First Passage of the Integrated Wiener Process
• Quelques martingales associées à l'intégrale du processus d'ornstein- uhlenbeck. application à l'étude despremiers instants d'atteinte
• Sur le premier instant de passage de l'intégrale du mouvement brownien. (The first passage time for the integrated Brownian motion)
• The distribution of exit times for weakly colored noise
• The one-sided barrier problem for an integrated ornstein-uhlenbeck process

Cited in

(10)

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

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