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

Bromwich integralBrownian motionfirst hitting timeinverse Laplace transformsimple graph

Mathematics Subject Classification ID

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

Recommendations

• Random motion on simple graphs
• On the first hitting time and the last exit time for a Brownian motion to/from a moving boundary
• On some properties of sticky Brownian motion
• The first passage time on the (reflected) Brownian motion with broken drift hitting a random boundary
• First passage time of skew Brownian motion

Cites work

• A boundary-crossing result for Brownian motion
• A stopped Brownian motion formula with two sloping line boundaries
• Boundary crossing probability for Brownian motion and general boundaries
• Brownian motion on graph-like spaces
• Brownian motions on metric graphs
• Construction of right processes from excursions
• Harmonic functions of Brownian motions on metric graphs
• Heuristic Approach to the Kolmogorov-Smirnov Theorems
• scientific article; zbMATH DE number 994429 (Why is no real title available?)
• scientific article; zbMATH DE number 3160490 (Why is no real title available?)
• scientific article; zbMATH DE number 18222 (Why is no real title available?)
• scientific article; zbMATH DE number 942202 (Why is no real title available?)
• scientific article; zbMATH DE number 3381619 (Why is no real title available?)
• It� excursion theory via resolvents
• Joint densities of first hitting times of a diffusion process through two time-dependent boundaries
• Markov Chains
• Numerical methods for Laplace transform inversion
• On integral equations arising in the first-passage problem for Brownian motion
• On the constructions of the skew Brownian motion
• On the first hitting time and the last exit time for a Brownian motion to/from a moving boundary
• Perturbed Brownian motion and its application to Parisian option pricing
• Random motion on simple graphs
• 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)

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

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

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2157409)