Hitting-Time Densities of a Two-Dimensional Markov Process

DOI10.1017/S0269964800002734MaRDI QIDQ3416070zbMATH OpenOpenAlexFDO

Authors Christian H. Hesse

Publication date 19 January 2007

Published in Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0269964800002734

Mathematics Subject Classification ID

Other physical applications of random processes (60K40)

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• scientific article; zbMATH DE number 3206627 (Why is no real title available?)
• Extensions and refinements of a Markov model for sedimentation
• First-Passage Densities of a Two-Dimensional Process
• Level-crossing problems for random processes
• Numerical Analysis of an Elliptic-Parabolic Partial Differential Equation
• On the First Passage of the Integrated Wiener Process
• The Fokker-Planck equation. Methods of solution and applications
• The first-passage density of a continuous gaussian process to a general boundary

Cited in

(5)

• Modelling strike duration distribution: a controlled Wiener process approach
• On the first hitting time density for a reducible diffusion process
• First-Passage Densities of a Two-Dimensional Process
• Joint densities of hitting times for finite state Markov processes
• LOWER TAIL INDEPENDENCE OF HITTING TIMES OF TWO-DIMENSIONAL DIFFUSIONS

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