Eigenvalue expansions for diffusion hitting times
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Publication:3051182
DOI10.1007/BF00538895zbMath0415.60071MaRDI QIDQ3051182
Publication date: 1980
Published in: Zeitschrift für Wahrscheinlichkeitstheorie und verwandte Gebiete (Search for Journal in Brave)
diffusion; Bessel functions; infinite divisibility; hitting time; mixture of exponential distributions; Sturm-Liouville expansion
60J60: Diffusion processes
Related Items
THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE, Hitting time distributions of single points for 1-dimensional generalized diffusion processes, Representations of the First Hitting Time Density of an Ornstein-Uhlenbeck Process1, Hitting law asymptotics for a fluctuating Brownian functional, On Pólya mixtures of multivariate Gaussian distributions, Boundary-crossing identities for diffusions having the time-inversion property, On subordinated multivariate Gaussian Lévy processes, On the excursion theory for linear diffusions, On the asymptotic behaviour of first passage times for diffusions, Diffusion first passage times: Approximations and related differential equations, Approximating probability densities on the positive half-line, Probability laws related to the Jacobi theta and Riemann zeta functions, and Brownian excursions, Eigenvalue expansions for diffusion hitting times, Classes of infinitely divisible distributions and densities, An eigenvalue decomposition for first hitting times in random walks
Cites Work
- Some probabilistic properties of Bessel functions
- Spectral distribution of a differential operator
- Eigenvalue expansions for diffusion hitting times
- Elementary Solutions for Certain Parabolic Partial Differential Equations
- Special Functions, Stieltjes Transforms and Infinite Divisibility
- Special functions, infinite divisibility and transcendental equations
- Note on the Infinite Divisibility of Exponential Mixtures
- Log-concavity and log-convexity in passage time densities of diffusion and birth-death processes
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