First-passage problems for one-dimensional diffusions with random jumps from a boundary

DOI10.1080/07362994.2011.532037MaRDI QIDQ3081442zbMATH OpenOpenAlexFDO

Authors Mario Abundo

Publication date 8 March 2011

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362994.2011.532037

zbMATH Keywords

first passage timerandom jumpscalar diffusion

Mathematics Subject Classification ID

Diffusion processes and stochastic analysis on manifolds (58J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)

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Cites work

• Biased movement at a boundary and conditional occupancy times for diffusion processes
• Ergodic behavior of diffusions with random jumps from the boundary
• scientific article; zbMATH DE number 3780265 (Why is no real title available?)
• scientific article; zbMATH DE number 48952 (Why is no real title available?)
• scientific article; zbMATH DE number 3493681 (Why is no real title available?)
• scientific article; zbMATH DE number 3383329 (Why is no real title available?)
• Limit at Zero of the First-Passage Time Density and the Inverse Problem for One-Dimensional Diffusions
• On a class of mathematical ecosystems with random jumps
• On the M/M/1 queue with catastrophes and its continuous approximation
• The First Passage Problem for a Continuous Markov Process

Cited in

(15)

• Diffusions with holding and jumping boundary
• On the first-passage area of a one-dimensional jump-diffusion process
• Moments of first-passage places for jump-diffusion processes
• The ruin problem for a Wiener process with state-dependent jumps
• One-dimensional diffusion processes in half-bounded domains with reflection and a possible jump-like exit from a moving boundary
• On first-passage times for one-dimensional jump-diffusion processes
• A randomized first-passage problem for drifted Brownian motion subject to hold and jump from a boundary
• Solving an Inverse First-Passage-Time Problem for Wiener Process Subject to Random Jumps from a Boundary
• A note on the first passage time of diffusions with holding and jumping boundary
• A stochastic model of cancer growth subject to an intermittent treatment with combined effects: reduction in tumor size and rise in growth rate
• scientific article; zbMATH DE number 7640332 (Why is no real title available?)
• Some examples of solutions to an inverse problem for the first-passage place of a jump-diffusion process
• Mean first passage times of two-dimensional processes with jumps
• First-passage problems for asymmetric diffusions and skew-diffusion processes
• Exact solutions to first-passage problems for jump-diffusion processes

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