The randomized first-hitting problem of continuously time-changed Brownian motion

DOI10.3390/math6060091zbMath1426.60107MaRDI QIDQ1634350

Mario Abundo

Publication date: 18 December 2018

Published in: Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3390/math6060091

zbMATH Keywords

diffusion; first-passage time; inverse first-passage problem

Mathematics Subject Classification ID

60J65: Brownian motion

60J60: Diffusion processes

Related Items

An inverse problem for the first-passage place of some diffusion processes with random starting point, Randomization of a linear boundary in the first-passage problem of Brownian motion, An inverse first-passage problem revisited: the case of fractional Brownian motion, and time-changed Brownian motion

Cites Work

• An inverse first-passage problem for one-dimensional diffusions with random starting point
• A note on first-passage times of continuously time-changed Brownian motion
• On the inverse first-passage-time problem for a Wiener process
• Randomization in the first hitting time problem
• The effect of a random initial value in neural first-passage-time models
• On integral equations arising in the first-passage problem for Brownian motion
• On the M/M/1 queue with catastrophes and its continuous approximation
• A computational approach to first-passage-time problems for Gauss–Markov processes
• The Generalized Shiryaev Problem and Skorokhod Embedding
• CREDIT RISK MODELING USING TIME-CHANGED BROWNIAN MOTION
• Limit at Zero of the First-Passage Time Density and the Inverse Problem for One-Dimensional Diffusions
• The First Passage Problem for a Continuous Markov Process
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item