First-passage time of a stochastic integral process through a linear boundary

zbMATH Open1258.60049MaRDI QIDQ2906320FDOQ2906320

Authors: Mario Abundo 

Publication date: 5 September 2012

Published in: International Journal of Applied Mathematics (Search for Journal in Brave)

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• scientific article; zbMATH DE number 702828

zbMATH Keywords

Brownian motiontime-changefirst-passage timestochastic integral

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05)

Cited In (7)

• First passage time distribution for linear functions of a random walk
• First passage times over stochastic boundaries for subdiffusive processes
• A characterization of the first hitting time of double integral processes to curved boundaries
• Kendall's identity for the first crossing time revisited
• Title not available (Why is that?)
• Some results about boundary crossing for Brownian motion
• Level-crossing probabilities and first-passage times for linear processes

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