On first-passage-time and transition densities for strongly symmetric diffusion processes

DOI10.1017/S0027763000006140zbMath0873.60059MaRDI QIDQ4343829

Amelia G. Nobile, Virginia Giorno, Antonio Di Crescenzo, Luigi M. Ricciardi

Publication date: 26 August 1997

Published in: Nagoya Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0027763000006140

zbMATH Keywords

Ornstein-Uhlenbeck process; diffusion processes; first passage time; absorbing boundaries; hyperbolic process; time-varying boundaries

Mathematics Subject Classification ID

60J60: Diffusion processes

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

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Cites Work

• Sequential tests constructed from images
• The parabolic differential equations and the associated semigroups of transformation
• On the two-boundary first-crossing-time problem for diffusion processes
• A new integral equation for the evaluation of first-passage-time probability densities
• On the evaluation of first-passage-time probability densities via non-singular integral equations
• The minimum of a stationary Markov process superimposed on a U-shaped trend