HITTING LINES and CIRCLES WITH DIFFUSION PROCESSES

DOI10.1111/J.1467-842X.1996.TB00677.XMaRDI QIDQ4354763zbMATH OpenOpenAlexFDO

Authors Richard Labib, Mario Lefebvre

Publication date 17 November 1997

Published in Australian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-842x.1996.tb00677.x

zbMATH Keywords

diffusion processfirst passage time

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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• Hitting parabolas and exponential curves with diffusion processes
• A one-dimensional diffusion hits points fast
• First-exit-time problems for two-dimensional Wiener and Ornstein–Uhlenbeck processes through time-varying ellipses

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