Functionals of reflected diffusion processes

DOI10.1016/J.SPL.2026.110786MaRDI QIDQ7302900zbMATH OpenFDO

Authors Yi Zhang, Jun Peng

Publication date 23 July 2026

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.SPL.2026.110786

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Brownian motion (60J65)

Cites work

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• The First Passage Problem for a Continuous Markov Process
• The first passage time and the dividend value function for one-dimensional diffusion processes between two reflecting barriers
• Transient behavior of regulated Brownian motion, I: Starting at the origin

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