First passage time problem for a drifted Ornstein-Uhlenbeck process

DOI10.1016/J.MBS.2004.02.001MaRDI QIDQ1877141zbMATH OpenOpenAlexWikidataFDO

Authors Yoann Madec, Caroline Japhet

Publication date 16 August 2004

Published in Mathematical Biosciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.mbs.2004.02.001

zbMATH Keywords

Euler schemeOrnstein-UhlenbeckNumerical methodFirst passage timeBackward Chapman-Kolmogorov equation

Mathematics Subject Classification ID

Medical applications (general) (92C50) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Numerical methods for partial differential equations, boundary value problems (65N99)

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Cites work

• scientific article; zbMATH DE number 4193023 (Why is no real title available?)
• scientific article; zbMATH DE number 849936 (Why is no real title available?)
• scientific article; zbMATH DE number 3240796 (Why is no real title available?)
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Cited in

(10)

• Computing the first passage time density of a time-dependent Ornstein-Uhlenbeck process to a moving boundary
• Analysis of a stochastic logistic model with diffusion and Ornstein–Uhlenbeck process
• On the first passage time distribution of an Ornstein–Uhlenbeck process
• Analysis of a stochastic Lotka–Volterra competitive system with infinite delays and Ornstein–Uhlenbeck process
• Maximum likelihood estimation for an Ornstein-Uhlenbeck model for neural activity
• Analytical survival analysis of the Ornstein-Uhlenbeck process
• The exit time and the dividend value function for one-dimensional diffusion processes
• Stochastic Gompertz model of tumour cell growth
• Computing the survival probability density function in jump-diffusion models: a new approach based on radial basis functions
• The first passage time density of Ornstein-Uhlenbeck process with continuous and impulsive excitations

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