Method of filtration in first passage time problems

DOI10.1088/1751-8121/AD6AB7MaRDI QIDQ6601045zbMATH OpenFDO

Authors Yuta Sakamoto, Takahiro Sakaue

Publication date 10 September 2024

Published in Journal of Physics A: Mathematical and Theoretical (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1088/1751-8121/AD6AB7

zbMATH Keywords

Brownian motionfirst passage time problemstochastic process

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)

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Cites work

• A guide to first-passage processes
• Brownian motion in a field of force and the diffusion model of chemical reactions
• First-passage-time density and moments of the ornstein-uhlenbeck process
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• On the First Passage Time Probability Problem
• Representations of the First Hitting Time Density of an Ornstein-Uhlenbeck Process¹
• The survival probability of a diffusing particle constrained by two moving, absorbing boundaries

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