One-Dimensional Reflected Diffusions with Two Boundaries and an Inverse First-Hitting Problem

DOI10.1080/07362994.2014.959595zbMath1305.60071arXiv1405.5333MaRDI QIDQ2937462

Mario Abundo

Publication date: 9 January 2015

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1405.5333

zbMATH Keywords

time-homogeneous diffusion; inverse first-hitting problem

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60J60: Diffusion processes

60H05: Stochastic integrals

Related Items

An inverse problem for the first-passage place of some diffusion processes with random starting point, Simulation of sample paths for Gauss-Markov processes in the presence of a reflecting boundary, On some properties of reflected skew Brownian motions and applications to dispersion in heterogeneous media, Generating random variates from PDF of Gauss-Markov processes with a reflecting boundary, Asymptotics of two-boundary first-exit-time densities for Gauss-Markov processes, A randomized first-passage problem for drifted Brownian motion subject to hold and jump from a boundary

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• An inverse first-passage problem for one-dimensional diffusions with random starting point
• On the first hitting time of a one-dimensional diffusion and a compound Poisson process
• On the inverse first-passage-time problem for a Wiener process
• On the first passage times of reflected O-U processes with two-sided barriers
• Randomization in the first hitting time problem
• The effect of a random initial value in neural first-passage-time models
• Properties of the reflected Ornstein-Uhlenbeck process
• The conditional probability density function for a reflected Brownian motion
• Lookback options and diffusion hitting times: a spectral expansion approach
• On the M/M/1 queue with catastrophes and its continuous approximation
• A diffusion approximation for a Markovian queue with reneging
• Some conditional crossing results of Brownian motion over a piecewise-linear boundary
• The first passage time and the dividend value function for one-dimensional diffusion processes between two reflecting barriers
• The hitting time density for a reflected Brownian motion
• The double-barrier inverse first-passage problem for Wiener process with random starting point
• On the probability densities of an Ornstein–Uhlenbeck process with a reflecting boundary
• Limit at Zero of the First-Passage Time Density and the Inverse Problem for One-Dimensional Diffusions
• Stochastic differential equations with reflecting boundary conditions
• Transient behavior of regulated Brownian motion, I: Starting at the origin
• Transient behavior of regulated Brownian motion, II: Non-zero initial conditions
• On the first hitting time and the last exit time for a Brownian motion to/from a moving boundary
• Detecting mean reversion within reflecting barriers: application to the European Exchange Rate Mechanism
• Simulation run lengths to estimate blocking probabilities
• On the First-Passage Time of a Diffusion Process Over a One-Sided Stochastic Boundary
• On first–crossing times of one–dimensional diffusions over two time–dependent boundaries
• The minimum of a stationary Markov process superimposed on a U-shaped trend
• Boundary-crossing probabilities for the Brownian motion and Poisson processes and techniques for computing the power of the Kolmogorov-Smirnov test
• On the transition densities for reflected diffusions
• The First Passage Problem for a Continuous Markov Process