Analysis of reflected diffusions via an exponential time-based transformation

DOI10.1007/S10955-016-1525-9zbMATH Open1346.82024OpenAlexW2343460469WikidataQ63434404 ScholiaQ63434404MaRDI QIDQ310026FDOQ310026

Authors: Antonio Di Crescenzo, Virginia Giorno, Amelia G. Nobile

Publication date: 7 September 2016

Published in: Journal of Statistical Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10955-016-1525-9

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zbMATH Keywords

Ornstein-Uhlenbeck process Wiener process first passage time Bessel process conditional density Rayleigh process

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)

Cites Work

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Cited In (8)

Applications of the multi-sigmoidal deterministic and stochastic logistic models for plant dynamics
On a time-inhomogeneous diffusion process with discontinuous drift
Simulation of sample paths for Gauss-Markov processes in the presence of a reflecting boundary
First-passage times and related moments for continuous-time birth-death chains
A time-non-homogeneous double-ended queue with failures and repairs and its continuous approximation
Generating random variates from PDF of Gauss-Markov processes with a reflecting boundary
On the construction of a special class of time-inhomogeneous diffusion processes
On short-term loan interest rate models: a first passage time approach

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