On the inverse of the first hitting time problem for bidimensional processes

DOI10.2307/3215088MaRDI QIDQ4364868zbMATH OpenOpenAlexFDO

Authors Mario Lefebvre

Publication date 7 July 1998

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/3215088

zbMATH Keywords

hitting timeintegrated processesKolmogorov equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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• Nonparametric adaptive estimation for integrated diffusions
• Similarity solutions of first-passage problems for two-dimensional Wiener processes
• First-passage problems for degenerate two-dimensional diffusion processes
• On a stopped functional for a bidimensional process
• Discrete sampling of an integrated diffusion process and parameter estimation of the diffusion coefficent
• HITTING LINES and CIRCLES WITH DIFFUSION PROCESSES
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• Passage time moments for multidimensional diffusions
• Adaptive nonparametric drift estimation of an integrated jump diffusion process
• Problèmes de premier passage résolubles par la méthode de séparation des variables
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• Strong consistency of parameter estimation for the CIR integrated diffusion process with long-span high-frequency data
• Contrast estimation of the Vasicek integrated diffusion process for high-frequency data

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