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

MaRDI QIDQ2906320zbMATH OpenFDO

Authors Mario Abundo

Publication date 5 September 2012

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

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)

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Cited in

(7)

• Level-crossing probabilities and first-passage times for linear processes
• scientific article; zbMATH DE number 5492190 (Why is no real title available?)
• 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
• Some results about boundary crossing for Brownian motion
• Kendall's identity for the first crossing time revisited

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