Construction of first-passage-time densities for a diffusion process which is not necessarily time-homogeneous
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Publication:3988134
DOI10.2307/3214694zbMATH Open0741.60075OpenAlexW2325584680MaRDI QIDQ3988134FDOQ3988134
Ramón Gutiérrez-Jáimez, P. Román-Román, A. Juan Gonzalez
Publication date: 28 June 1992
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/3214694
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- On Markov chain approximations for computing boundary crossing probabilities of diffusion processes
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- A First-Passage-Time Problem for Symmetric and Similar Two-Dimensional Birth–Death Processes
- Gauss-Markov processes in the presence of a reflecting boundary and applications in neuronal models
- Moments of the first passage time under external driving
- On the construction of a special class of time-inhomogeneous diffusion processes
- Bounds for the transition density of time-homogeneous diffusion processes
- On the construction of first-passage-time densities for diffusion processes
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