The mean of the running maximum of an integrated Gauss–Markov process and the connection with its first-passage time

DOI10.1080/07362994.2016.1273784zbMath1364.60094MaRDI QIDQ2986700

Mario Abundo

Publication date: 16 May 2017

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

Full work available at URL: https://doi.org/10.1080/07362994.2016.1273784

zbMATH Keywords

Brownian motion; Ornstein-Uhlenbeck process; running maximum; first-passage time; Gauss-Markov process

Mathematics Subject Classification ID

60G15: Gaussian processes

60G70: Extreme value theory; extremal stochastic processes

60J25: Continuous-time Markov processes on general state spaces

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

60J65: Brownian motion

60J60: Diffusion processes

60H05: Stochastic integrals

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Cites Work

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• Limit at Zero of the First-Passage Time Density and the Inverse Problem for One-Dimensional Diffusions
• FROM BOUNDARY CROSSING OF NON-RANDOM FUNCTIONS TO BOUNDARY CROSSING OF STOCHASTIC PROCESSES