Smooth first-passage densities for one-dimensional diffusions

DOI10.2307/3214261MaRDI QIDQ3759632zbMATH OpenOpenAlexFDO

Authors

Publication date 1987

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

Full work available at URL https://doi.org/10.2307/3214261

zbMATH Keywords

reflecting Brownian motionSkorohod equation with two reflecting boundaries

Mathematics Subject Classification ID

Brownian motion (60J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Boundary theory for Markov processes (60J50)

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Cited in

(16)

• Orthogonal gamma-based expansion for the CIR's first passage time distribution
• First passage densities and boundary crossing probabilities for diffusion processes
• Asymptotic equivalence between boundary perturbations and discrete exit times: application to simulation schemes
• Lie symmetries methods in boundary crossing problems for diffusion processes
• Mean-field limit of a stochastic particle system smoothly interacting through threshold hitting-times and applications to neural networks with dendritic component
• First passage time density of an Ornstein-Uhlenbeck process with broken drift
• Efficient Estimation of One-Dimensional Diffusion First Passage Time Densities via Monte Carlo Simulation
• On probabilistic analytical and numerical approaches for divergence form operators with discontinuous coefficients
• Diffusion hitting times and the bell-shape
• Smooth Taboo Density for One-Dimensional Diffusions
• A lower bound for the first passage time density of the suprathreshold Ornstein-Uhlenbeck process
• Hitting times, occupation times, trivariate laws and the forward Kolmogorov equation for a one-dimensional diffusion with memory
• Smooth Transition Densities for One-Dimensional Diffusions
• The first passage time density of Ornstein-Uhlenbeck process with continuous and impulsive excitations
• On representations of solutions of 1–dimensional stochastic differential equations with reflecting boundary conditions
• Parametrix method for the first hitting time of an elliptic diffusion with irregular coefficients

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