First hitting time of Brownian motion on simple graph with skew semiaxes

DOI10.1007/S11009-021-09884-4MaRDI QIDQ2157409zbMATH OpenOpenAlexFDO

Authors Angelos Dassios, Junyi Zhang

Publication date 28 July 2022

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/s11009-021-09884-4

zbMATH Keywords

Brownian motionfirst hitting timeinverse Laplace transformsimple graphBromwich integral

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cites work

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• Markov Chains
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• Semimartingales on rays, Walsh diffusions, and related problems of control and stopping
• Stochastic boundary crossing probabilities for the Brownian motion
• The equivalence of diffusions on networks to Brownian motion
• Understanding Markov chains. Examples and applications

Cited in

(2)

• Diffusion spiders: Green kernel, excessive functions and optimal stopping
• Random motion on simple graphs

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