First passage time problem for a drifted Ornstein-Uhlenbeck process

DOI10.1016/j.mbs.2004.02.001zbMath1047.92027OpenAlexW2081762278WikidataQ51999092 ScholiaQ51999092MaRDI QIDQ1877141

Yoann Madec, Caroline Japhet

Publication date: 16 August 2004

Published in: Mathematical Biosciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.mbs.2004.02.001

zbMATH Keywords

Euler schemeOrnstein-UhlenbeckNumerical methodFirst passage timeBackward Chapman-Kolmogorov equation

Mathematics Subject Classification ID

Medical applications (general) (92C50) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Numerical methods for partial differential equations, boundary value problems (65N99)

Related Items (8)

Analysis of a stochastic logistic model with diffusion and Ornstein–Uhlenbeck process ⋮ Analysis of a stochastic Lotka–Volterra competitive system with infinite delays and Ornstein–Uhlenbeck process ⋮ Analytical survival analysis of the Ornstein-Uhlenbeck process ⋮ Computing the survival probability density function in jump-diffusion models: a new approach based on radial basis functions ⋮ Stochastic Gompertz model of tumour cell growth ⋮ Maximum likelihood estimation for an Ornstein-Uhlenbeck model for neural activity ⋮ Computing the first passage time density of a time-dependent Ornstein-Uhlenbeck process to a moving boundary ⋮ The exit time and the dividend value function for one-dimensional diffusion processes

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