First-passage time of Markov processes to moving barriers

DOI10.2307/3213688MaRDI QIDQ3344948zbMATH OpenOpenAlexFDO

Authors Henry C. Tuckwell, F. Y. M. Wan

Publication date 1984

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.591.6843

zbMATH Keywords

Ornstein-Uhlenbeck processfirst-exit timemean first-passage timemoving barriersexponentially decaying barrier

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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