On the First-Passage Time of a Diffusion Process Over a One-Sided Stochastic Boundary

DOI10.1081/SAP-120017530MaRDI QIDQ4795538zbMATH OpenFDO

Authors Mario Abundo

Publication date 24 February 2003

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

zbMATH Keywords

Brownian motiondiffusion processfirst-passage timestochastic boundary

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cites work

• scientific article; zbMATH DE number 3383329 (Why is no real title available?)
• Asymptotics of first-passage time over a one-sided stochastic boundary
• Martingales, Tauberian Theorem, and Strategies of Gambling
• On first–crossing times of one–dimensional diffusions over two time–dependent boundaries
• The Crossing Time of a One-Sided Nonlinear Boundary by Sums of Independent Random Variables

Cited in

(15)

• The first passage time and the dividend value function for one-dimensional diffusion processes between two reflecting barriers
• First passage times of L\'evy processes over a one-sided moving boundary
• One-dimensional reflected diffusions with two boundaries and an inverse first-hitting problem
• Biased movement at a boundary and conditional occupancy times for diffusion processes
• First-passage problems for asymmetric diffusions and skew-diffusion processes
• First-passage time of a stochastic integral process through a linear boundary
• First passage probabilities of one-dimensional diffusion processes
• Limit at Zero of the First-Passage Time Density and the Inverse Problem for One-Dimensional Diffusions
• First passage time for a diffusive process under a geometric constraint
• On the first hitting time of a one-dimensional diffusion and a compound Poisson process
• Asymptotics for diffusion first-passage laws
• Solving an Inverse First-Passage-Time Problem for Wiener Process Subject to Random Jumps from a Boundary
• Some remarks on the maximum of a one-dimensional diffusion process
• First passage times over stochastic boundaries for subdiffusive processes
• Almost sure comparisons for first passage times of diffusion processes through boundaries

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