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

DOI10.1007/s11009-021-09884-4zbMath1504.60141OpenAlexW3182279838MaRDI QIDQ2157409

Angelos Dassios, Junyi Zhang

Publication date: 28 July 2022

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

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

zbMATH Keywords

Brownian motionBromwich integralinverse Laplace transformsimple graphfirst hitting time

Mathematics Subject Classification ID

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

Related Items (1)

Diffusion spiders: Green kernel, excessive functions and optimal stopping

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Perturbed Brownian motion and its application to Parisian option pricing
• On the constructions of the skew Brownian motion
• Construction of right processes from excursions
• A stopped Brownian motion formula with two sloping line boundaries
• On integral equations arising in the first-passage problem for Brownian motion
• Semimartingales on rays, Walsh diffusions, and related problems of control and stopping
• Random motion on simple graphs
• Numerical methods for Laplace transform inversion
• Brownian motions on metric graphs
• [https://portal.mardi4nfdi.de/wiki/Publication:3308821 It� excursion theory via resolvents]
• The equivalence of diffusions on networks to Brownian motion
• On the first hitting time and the last exit time for a Brownian motion to/from a moving boundary
• A boundary-crossing result for Brownian motion
• Markov Chains
• Boundary crossing probability for Brownian motion and general boundaries
• Understanding Markov Chains
• Brownian motion on graph-like spaces
• Stochastic Boundary Crossing Probabilities for the Brownian Motion
• Joint Densities of First Hitting Times of a Diffusion Process Through Two Time-Dependent Boundaries
• Harmonic functions of Brownian motions on metric graphs
• Heuristic Approach to the Kolmogorov-Smirnov Theorems

This page was built for publication: First hitting time of Brownian motion on simple graph with skew semiaxes