Diffusion first passage times: Approximations and related differential equations

DOI10.1016/0304-4149(87)90036-6zbMath0637.60093OpenAlexW1997026355MaRDI QIDQ1098500

Michael L. Wenocur

Publication date: 1988

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(87)90036-6

zbMATH Keywords

rate of convergencefirst passage timespectral methodsdiffusion process with a reflecting boundary

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Limit theorems in probability theory (60F99)

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Approximating probability densities on the positive half-line ⋮ Path integral evaluation of ALOHA network transients ⋮ Timing portfolio strategies with exponential Lévy processes ⋮ Multiple barrier-crossings of an Ornstein-Uhlenbeck diffusion in consecutive periods

Cites Work

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• The spectral decomposition of a diffusion hitting time
• Statistical properties of the generalized inverse Gaussian distribution
• First hitting time models for the generalized inverse Gaussian distribution
• Eigenvalue expansions for diffusion hitting times
• On failure modeling
• Brownian motion with quadratic killing and some implications
• Solution of Vandermonde systems of equations

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